Mailcoach supports sending mails via Sendgrid. To get started, got to Configuration > Settings > Mailers, and create a Mailer for the "Sendgrid" Email service.
After that, you'll be greeted with a nice wizard that will you setting this up at Sendgrid. In order to start configuring this on your account, the wizard will ask for specifying a Sendgrid API Key.
How to create a Sendgrid API key
Log in to your SendGrid account and follow these instructions on creating an API key. Make sure it add the "Mail Send", "Mail Settings" and "Tracking" permissions when creating the API key.