I've always just left the broodies in the coop. They take over a nest, steal eggs from the other nests, and generally just do their thing. Now...they do have problems when left in the coop. For one thing, after the chicks hatch, they go running around, and until Broody gives up on the remaining eggs, the chicks can be killed by the other hens. After I had that happen, I started fencing in the broody and her eggs. I put water and feed over next to her. Even tho I used just a 2ft high poultry wire, the other hens in the coop didn't jump over it..they just left Ms. Broody alone.
I think Cyngbaeld, from HT Poultry, houses her broodies in a separate coop.