I've tried both ways. There's pros and cons to both. My first broody, I immediately took her out and moved her to the brooder we had just built. Let her set on 8 eggs and she laid 3 more while being in there before she strictly SET. She hatched them all out just fine. The con with this method was re-introducing her to the flock as well as the chicks.
Now, with letting a broody set inside the coop, just make sure she has an area that's great for her, no one to poop on her and no one messing with her. Also, when it's close to hatch time, make sure the littles won't fall from where the nest is...Honestly, I used a laundry basket so that way when they are big enough to get in and out, they can. I feel if they aren't able to fly to the tip of the basket, they should stay in there. I keep a small waterer and feeder in there. The best thing about this method is, the whole flock accepted the chicks the moment they hatched. They do not mess with the chicks. After a week, the hen felt it was time to bring the chicks out to free range with the rest of the flock. ....there's your con. Chicks are such easy targets for cats, dogs & hawks. I usually stay out with the chickens when they free range anyway.