Some coins are more equal than others: Wear & tear will factor in on which coins you use. I am using nickels and pennies in the sleeve, and a quarter on the cap. New nickels provided an overly snug fit in the sleeves, but slightly worn nickels worked very well. Pick an older, worn looking nickel. Try a few out. As much as I'd like to put holes through the ugly new nickels, it's more effective to use an old one. Monticello on the reverse will also help you drill centered holes!
Pennies tend to wear noticeably thin at the edges, so newer pennies will be more even. Pick newer, shinier pennies. The Lincoln Memorial will help center holes.
Quarters with an eagle on the reverse makes centering holes easier.
In short: pick coins with symmetrical images on at least one side.
Pick worn nickels.
Pick mint pennies.