Being a framer, and having framed hundreds of jerseys, i think i can offer some insight...
the actual framing of the jersey isnt really any different then doing any other kind of picture when it comes to picking materials/colors/etc.
When it comes to displaying the jersey inside the frame there are a couple ways to do it. Sewing it to the mat board is certainly an option. When jerseys get framed at work we use a tagging gun (the same kind used for clothes at Target, Walmart, etc) since its easier and a hell of a lot faster then actually sewing the jersey. I'm sure you can buy these tagging guns but i have no idea where. Straight Pins would, in theory, work just fine as long as they are strong enough to hold the jersey up.
At work we have an interesting option where the client would buy a "kit" that includes the frame (which is metal has a sliding door on the front that is magnetically sealed), backing, and UV resistant plexi glass. The cool part of this is the frame has a hanger installed in the frame that the jersey hangs on making it possible (along with the door) to take out and wear, get signed, etc. Depending on where you are getting it framed, this might be a good, easy, option. At work these "kits" are $200 plus any other mats or anything you want added.
If i remember ill get a picture of my jersey that we're using for the sample. in the mean time, heres a wedding dress that i framed last winter...this thing was a bitch.

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