I've spun beads into yarn four ways ...
1. thread the beads onto thread and then hold the thread as a core while spinning singles (so the thread and fiber becomes a single. The beads (or, sequins in this case!) will "pop" to the surface of the single if you are spinning fairly fine.
2. thread the beads onto thread and make a 3-ply: two of your fibery singles, third ply is the beads-on-thread.
3. thread your beads onto thread and then ply that with your singles; it's your choice to make a "gimp" yarn (the thicker handspun wig-wagging around the thread) or to push the fiber into coils on the thread between the beads. Both are coil. Coil yarn is quite thick and dense, BTW.
4. as you spin the singles, break the end and thread a few beads onto the singles as you go, then rejoin with your fiber, spin some more yarn, etc. repeat as desired. Can do on both or just one of the singles. Using a beading needle, a "floss threader", or some fishing nylon is the easiest way to transfer beads onto the fiber.
When using thread (1-3) you can simply thread the beads onto the thread and move them up and down as you want, or you can tie them on for more "bead stability".
Of all of these, I tend to play around, though I do find stringing the beads onto threads faster than the fourth method. 2 and 4 have Spin-off articles, I think from Winter '03 and Spring '04.
I'll work on getting more bead yarns onto my flickr account "real soon" ... like, after the county fair! (they're all being entered!)