Before you even ask, yes you do have to buy the item for 1,000,001 coins. This will take you quite a bit of time to get to, but I'm here to save the day! Well, not really.
The absolute easiest way to get this is to get real real good at the lost levels. Once you get it down, you'll be able to start running through it in about 20 minutes and less than 10 lives. Each consecutive time you beat it, the coin value increases to larger amounts, but its going to take time to get there, that's for sure. Note that it does max out at 1001 per coin after run 6 I believe. This works better than anything I tried in Golden Vase and Tower of Nannar.
A general tip: Never go for a coin that causes you trouble. The life is more valuable (pun intended). Most important tip: As much as I would love to say use who suits your playstyle, don't. Juni is 100% the way to go. Not only can you completely control her double jumps, she can also float, wall slide, and jump off of walls if need be. She will save you endless times. She may take a bit to get used to, but using her I averaged 14:30 per run of Lost Levels. Once you're good enough, the grind will be about eight hours or so with practice (and assuming your Xbox doesn't crash and reset your multiplier, like mine did three times!). On the bright side, it never gets boring.
Otherwise, if you want a pretty good boost in coins, and think you know the main levels well, you can pick different characters and all the gold skull locations are now gold coins that increase by 100 at a time. I want to say the first one was worth 600 and it went up from there. You can only do this once, however.
Note* - You need to collect 15 gold skulls before the store opens.