Should I wear my coat through the metal detector?

No. Always remove heavy jackets and sweaters with zippers. It is standard practice and saves the agent from having to send you back.

Why did they pull my bag aside?

Usually, it's a water bottle, a battery pack, or something layered over something else that created an opaque image on the scanner. Keep your bag organized to avoid this.

Is it okay to ask the agent what to do?

Yes, but ask while you are moving toward the belt, not once you have stopped the flow of traffic. Be polite and concise.

Soar Through Airport Security Without Holding Up the Line

Preparation is the only way to avoid being the person everyone is waiting on. Have your boarding pass and ID ready, strip down your carry-on to the essentials, and know the specific rules for your airport before you reach the bins.

Stage your gear before the queue. Do not wait until you are at the conveyor belt to take off your belt, watch, or coat. Do this while waiting in the security line so you can step up to the bins and immediately place your items.
Separate electronics and liquids. Know if your airport requires you to remove laptops or liquids. If in doubt, keep them easily accessible in the top pocket of your bag. If you have TSA PreCheck or equivalent, keep them inside your bag unless prompted otherwise.
Choose your lane wisely. Scan the lanes. Don't join a line where everyone has large strollers or massive amounts of loose gear. Look for the lane with business travelers or solo flyers who have their bins moving quickly.
Organize your pockets. Empty your pockets into your bag or a zipped compartment before you get to the metal detector. Never put loose items like keys or coins directly into the plastic bin; they will fall out or slow down the agent.
Use the bin-stacking method. Put your bag in the first bin, then your laptop/electronics in the second. Don't overfill bins, but don't use five bins for five small items. Consolidate your space so the agents don't have to manage extra trays.

Should I wear my coat through the metal detector?: No. Always remove heavy jackets and sweaters with zippers. It is standard practice and saves the agent from having to send you back.
Why did they pull my bag aside?: Usually, it's a water bottle, a battery pack, or something layered over something else that created an opaque image on the scanner. Keep your bag organized to avoid this.
Is it okay to ask the agent what to do?: Yes, but ask while you are moving toward the belt, not once you have stopped the flow of traffic. Be polite and concise.