Most manufactured coin bezels are stamped, thin and one piece. One way to make a nicer one is to make a bezel around the coin, with the height of the bezel about three times the thickness of the coin. Solder that onto a flat sheet, which will be the top of your coin bezel. Trim the sheet up too the outside of the bezel. Mark a perfect circle for the hole with your divider on top by tracing around the outside of the bezel. Drill and the saw out the hole. File or ream until perfect, up to your line. Fit in the coin and mark it’s height on the outside of the bezel using your dividers. Then mark where you want prongs, usually four. Then lower the height of the bezel to the coin height you marked between your prongs. To set it you’ll just lay the prongs over the coin. You can get a lot fancier than this but this is one way to do what you’re asking to do.
After polishing you can mold it in no shrink rtv rubber for future use, but make it a hair big if going that route to allow for inevitable shrinkage.
I’m sure you know but it’s worth saying that you never heat or polish a coin. Some you shouldn’t even clean. So setting is the very last thing you do after the piece is totally polished and ready to deliver.
Hope that helps a little,