Not sure I can think of a reason why you'd need to pickle them if bezel set - do all the soldering, then the bezel setting of the coins, then final polish & they don't need to go back in. I admit I'd prefer not to drill old coins (or solder them), but that's just me.
The downside to bezel setting is that you'll have to make up a bunch of 12-sided bezels - but it's all good skills practice
Alternatively, a) you may be able to find a stockist of 3D bezel settings or b) just use a round one.
(Nah, I'm wrong - the older ones were round, it's the later ones I remember. Just)
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