Copts generally have a couple of strategies. Some just take the Arabic word, some rely on (Ancient) Greek, and some try to coin new words from within Coptic and Ancient Egyptian.
The latter strategy requires profound knowledge in historical linguistics, though. But if you know Ancient Egyptian (especially Demotic), you can introduce wonderful real Egyptian words. Sometimes, you can also take words from other Coptic dialects. For example: No genuine Bohairic word for "hieroglyphs" has survived. Some Copts just take (ϩ)ⲓⲉⲣⲟⲅⲗⲩⲫⲟⲥ from Greek. But in one of the Nag Hammadi texts (in Sahidic), a phrase ⲥϩⲁⲓ ⲛ̄ⲥⲁϩ ⲡⲣⲁⲛ︦ϣ︦ is attested. This can easily be rendered in Bohairic as: ⲥϧⲁⲓ `ⲛⲥⲁϧⲫⲣⲁⲛϣ.
Or take ⲁⲛϣⲱϫⲓ for gym. Bohairic has ϣⲱⲓϫ for 'athlete, gladiator'. This is derived from ϣⲱϫⲓ (not attested in Bohairic I think but in Sahidic and other dialects) which is a verb which means "fight" and anything an athlete/gladiator/hero does. Thus, we could take ϣⲱϫⲓ has the verb 'to play sports' and as a noun 'sport'. Because ⲁⲛ- is a prefix which creates places (see ⲁⲛⲍⲏⲃ school), you can create ⲁⲛϣⲱϫⲓ for 'gym'.
This is an awesome way to express things in "real" Coptic, but it requires a thorough knowledge of ancient texts and historical phonology (sound changes).