I have the same question too!... IMHO, I would use the full urn string,
http://{domain}/{somethinghere}/{full urn string}
It's elegant, semi-legal, and has a user-friendly feature of making it easier to copy-and-paste URN strings into your URL. Here's some of the homework I've done:
There is an old experimental RFC 2169 which suggests putting in the full urn string, and not %quoting the the colons (:). This is clean and elegant... And there are examples of colons in the wild e.g.,
http://en.wikipedia.org/wiki/Talk:Buckminster_Fuller
One of my fears (can anyone confirm or reject this?) is that some browsers, servers, frameworks, or tools may try to %quote or otherwise choke on a colon because of various assumptions that they may make about what a colon represents.
Neither RFC 1630 nor other RFCs make it clear whether a colon may be used in a path of the http scheme or not. There is a caveat however! The placement of a colon is important in determining whether or not a URL is absolute (and this is specified under the section "Partial (relative) form" in RFC 1630). If a colon appears before a slash (/), then the URL is absolute. (N.B. the colon is referred to as a "reserved" delimiter in the RFCs, but the intended reserved use of it is clear and does not rule out use in paths.)
I'd love to here more ideas about this... (and not just taking the easy cop-out of slash-encoding everything, as that is not as elegant).