This is a much simpler way to do it:

012345.split('').join(',')

The same thing, except with comments:

012345.split('') // Splits into chars, returning [0, 1, 2, 3, 4, 5]

        .join(',') // Joins each char with a comma, returning 0,1,2,3,4,5

Notice that I pass an empty string to split(). If you don't pass anything, you'll get an array containing only the original string, rather than an array containing each character.

Alternatively you could pass nothing to join() and it'd use a comma by default, but in cases like this I prefer to be specific.

Don't worry about speed — I'm sure there isn't any appreciable difference. If you're so concerned, there isn't anything wrong with a loop either, though it might be more verbose.