I would think that the radiator would be the better bet since it would maximize the surface area that is responsible for the heat transfer. You could try the coil, but there would definitely gaps, etc that would reduce the effectiveness. It would be very easy to make a coil though. So I would, if I were to try to replicate this, try the coil first.
The turbo is the basis for many a home made turbines. You have to get them turning at very high speeds though. That may be an issue. I'm not quite sure of the size they're using on the BMW. I only skimmed the article.