Coin went to Earth at the end of Sourcery.He didn't exactly create another world, but went off to live elsewhere. On Earth (or Roundworld, I believe it's called?) magic isn't real, so it makes no difference that Coin is a Sourcerer. He may still have a chance at a normal life in a non-magical world because of his youth.
Rincewind grew up in The Shades, or at least another part of Morpork.Rincewind normally tries to run away from any sort of conflict. His last resort happens to be a half-brick in a sock. He couldn't have gained his street smarts anywhere but the streets themselves.