I'm not particularly concerned about instantly getting hacked by some virus or whatever by using some ancient computer, so I'm happy to connect a Win95 to the internet in the same fashion as any other computer.
These days the bad guys will send you a phishing email or unsolicited phone call, rather than trying to hack some random old machine.
The only thing I do differently is to manually allocate every one of my machines its own IP address and settings rather than using DHCP.
So I have 2 places that I use the internet, one has a telephone line going directly to the gateway device (modem, 4-way port etc), and the other place has a cable to a NBN device, this then connects to a gateway device (you can't connect the computer directly to the NBN thingy).
Therefore I'd suggest (if you're not worried about script kiddies) to connect the Win95 computer in exactly the same way as anything else in your house.