I read about this because I suffer from the gagging when I take it. I can't imagine taking it without coating! Ick!
I put mine in the freezer. I don't know how much it 'helps' but it certainly doesn't hurt to keep all that fishy ickiness inside it. Another thing is to get the kind that is 'enteric' coated. It is a thicker coating that doesn't cause fishy burps. You can find some pills that actually say, "NO fishy burps" (so I've read, I just take the enteric coated kind).
I scoop mine out of the container with a spoon because the smell on my hands = gag. Afterwards, I eat a mint. I'm a huge baby!