I don't think coffee is a major concern for head-retention, but if you're worried about it, pour the cold-brew or alcohol infusion through a paper filter, which will remove most of the lipids in the coffee.
I've only used filtered cold-brew, which worked alright, but if I do another coffee beer I'll try beans in secondary. The real danger with this method is over-extraction (more than 22% of the coffee solids extracted), which results in harsh bitterness, because the least soluble compounds in coffee are also the least pleasant. To try and control the process, I'd recommend using a coarse grind with a high-quality grinder. If you don't have a burr grinder at home get it ground at a shop, because using a blade grinder will create a lot of dust, which will very quickly over-extract. Sift the ground coffee through a nylon bag, since even the best grinders produce some dust, then put the bag in secondary. Use 4 oz of ground coffee (weighed after sifting). Taste the infusion of alcohol or beer frequently as it extracts. Don't squeeze the bag when you remove it.