If you take a look at my site that JPete mentioned, I have pictures of how I do it. My method is for those that want to change or acess their comic/magazine, etc. The most important part, regardless of whether it is permanently sealed in the frame or is changable is that it be encapsulated in Mylar.
Besides the preservation aspect, the sleeve provides support. Without it you will eventually get a lower right corner roll just like when a magazine is left in a magazine rack without support.
If you don't want to make your own sleeve,
www.bagsunlimited.com or
www.bcemylar.com sell 4 mil archival Mylar D sleeves. Stay away from their 2 mil products (see below).
From my site I have framed just about every kind of ephemera imaginable from first issues of Playboy and Sports Illustrated to comics, money, newspapers, postcards, record ablums, trading cards, first day covers, antique maps, encapsuled coins, comic art, comic art and comics together and much more. On my table at the moment are frames for a signed script from Bewitched (Dick York) and 20 frames for a securities company in Canada that will be putting the prospectus for a just closed deal in the frames as a giveaway to the participants. Everything gets the Mylar sleeve treatment. For standard items, I use stock Mylar D sleeves. For non-standard I roll my own from sheet 4 mil Mylar D rolls.
I use a minimum of 4 mil sleeves. I'm not a big fan of the 3 mil Mylar that some of our suppliers sell. IMHO it is too thin to provide enough support and is more succeptible to creases/marks from handling. I sometimes use 5 mil Mylar D for oversize items.