Changing magnetic field over a coil induce current in the coil itself.
Changing the magnetic field that's cut by a coil induces a voltage in the coil -- not a current. If you short the coil (i.e., connect its ends together) then the magnetically-induced voltage will generate a current.
Current running through a coil makes it magnetic. (To put it simply)
Correct.
You can demonstrate the moving field thing with a voltmeter and a magnet -- connect a voltmeter or oscilloscope to the coil, and move the magnet by the coil. A digital voltmeter is usually too slow, although a good old fashioned analog voltmeter works nicely.
You can demonstrate the current through a coil thing by wrapping a number (around 100) turns of insulated wire over a nail. Power that with a D-cell and you should be able to pick up small iron objects (like a nail that you didn't wrap with wire). If you're lucky, you'll be able to drop your thing when you open the circuit.
You can demonstrate how the two interact by taking a DC motor (brushed or brushless) and putting a flywheel on it. Give it a spin with the wires disconnected to anything, and note how long it takes the flywheel to spin down. Now do the same thing, only with the wires connected -- the flywheel will spin down much faster.
This is because the coils moving through the magnetic field induce a voltage; when the wires are shorted, this voltage induces a current, which makes a magnetic field, which opposes the rotation of the motor. That opposition to rotation makes the flywheel spin down.