It very much depends where you stand in your preparations, what you want out of the coaching session and your coach.
If you are just starting with your preparations, you can plan a coaching session with your coach to go through a case together, discuss what is expected from you during the case interview, what your natural strengths and weaknesses are and how you can best prepare for your interview. Some light preparations - e.g. going through 5-10 cases on your own - ahead of this coaching session should be enough.
If you are closer to the interview date, you typically want a coaching session that is as close to the real deal as possible. Hence, your preparation should be as close to the real deal as possible as well, to really understand where you stand.
Another possibility is that you just need to work on 1-2 very specific improvement areas. In those situations, you can discuss with your coach what type of exercises you need to do before and during your coaching session ahead of the actual session.
I hope this helps!