Roman and other ancient coins can be purchesed either cleaned or uncleaned. I would advise against buying uncleaned coins, often in what are called ’unpicked/Gold-found’ lots – if there was any gold found, it was usually by the seller. However, if you must satisfy your archaeological curiosities, then by all means go for it. You should be aware though that most of these uncleaned coins (probably 9 out of 10) will be very common 4th century bronzes, often in poor condition.
You may be better off paying $10 and getting one in good condition rather than spending few weeks (or even months) cleaning junk only to find out that you can kind of see something on one of the coins. In the end, you may end up with a bunch of coins that are pretty much the same. Yes, uncleaned coins cost a dollar per coin, but you do the math. Sometimes you can buy coins that have been partially cleaned, and show some details – this is the lowest quality I would consider since at least you have some hope of attributing the coin.
If you are interested in buying uncleaned coins, check out the links near the end for some websites that talk about cleaning ancient coins. Cleaning coins in general is a risky business if you don’t know what you’re doing, but a bit less so for ancient coins. Even some nice coins need a bit of cleaning sometimes. In general, soaking in warm water with soap will remove encrusted sand within hours or days, and for harder encrustations soaking in vegetable oils for long periods may be required.