First make Coal into Coal Coke, then make it into Dust using the Shredder, then using a Fluidized Burning Box to burn said Coal Coke Dust. That is the most efficient way.
Burn Values of most things, including Coal, depend purely on the amount of Material they contain, so crushed Coal has a slightly longer burn time than regular Coal “Gems”, washing the crushed Coal will further increase its burn value as well.
If you want a shorter burn time, turn the Coal or Coke into “Ingots” on the Crafting Table and from there turn it into Nuggets, so that you can more easily shut off the Burning Box.