Preheat oven to 180°C/350°F. Add the coconut to a rimmed baking sheet and toast in the oven for 3-5 minutes, or until golden and fragrant. Set aside.
Add the biscuits to a large plastic bag, seal it and beat with a rolling pin or small pan until finely ground. Alternatively, grind the biscuits with a few pulses in a food processor.
Add the biscuit crumbs to a large mixing bowl along with the toasted coconut, sweetened condensed coconut milk, cocoa powder, vanilla and salt. Stir until thoroughly combined, cover with plastic and move to the refrigerator to chill for at least 30 minutes.
Pour some more desiccated coconut into a shallow dish. Remove the rum ball mixture from the fridge. Using a 30ml (2oz) scoop or a large kitchen spoon, scoop out 16 evenly sized balls, rolling each in coconut and then rolling into a sphere with your hands. Move to the fridge to firm up more, or serve immediately.
Notes
Sweetened condensed coconut milk is available in the international section of well-stocked supermarkets. If you cannot find it, follow the instructions for coconut syrup in my coconut macaroon recipe and make it yourself. Alternatively, you can use a standard can of regular sweetened condensed milk.
Use the weight measurement of salt rather than the volumetric measurement if at all possible. Different brands and types of salt can vary, so going by weight is going to be the most consistent option.