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$ sage -f r
Calling sage-spkg on 'r'
r-2.14.0.p3

Oops! That is totally unrelated to installing R packages. You are trying there to reinstall the complete R installation inside of Sage.

I'm surprised that your initial method didn't work, but you should be able to try the following:

sage: r.install_packages("coda")
<various messages>
sage: r.library('coda')

to use it. There is a warning about restarting Sage, but this seems to be unnecessary in my experience.