The answer to this question depends on how you want to preserve it - as a pinned specimen (also dry preservation, most common) or in a liquid. If you want to pin it, placing it in a jar with a cottonball soaked with ethyl acetate (also used in killing jars) is good because it softens the muscles and makes the insect easier to pin and mount. Beetles are then usually pinned with a needle through the right elytra (wing cover), but there are also other ways to pin them. You can also glue the beetle to a piece of cardboard, which is then pinned. Gluing insects generally helps to protect them (so that legs and antennas dont fall of when handling them), but makes it more difficult to see the ventral side and it can also be cumbersome to have large glued beetles in a collection.
If you want to keep it in a liquid, 70-80% alcohol (ethanol) is a good choice, but not stronger (95% alcohol makes the insect stiff and brittle and might distort smaller insects). As you say, formaldehyde is generally not used since it's very toxic and it can also make the insect stiff.
Here are some more good tips on collecting and conserving insects from the University of Minnesota.