This is an interesting thread.
Why coconut oil instead of olive oil? Hmmm.
I believe any fat can absorb THC and the cannabinoids. I've made gel caps, but I did it with the 99% alcohol extraction method. I used the double boiler method, then added some olive oil to the extracted material before sucking it into a dropper and dropping it in the pills.
Wanna see something cool? I made this with a drill and a piece of wood. It's to put empty gel caps in, so you can easily fill them.
Now, unfortunately, the pills I made were on the weak side. I was experimenting with dosages last month, but it seems that it will take well over .5g to feel anything. In fact, it looks like it may take 1-1.5g, but we'll see.
Any developments with your experiment?