Melt chocolate and butter: Place chopped chocolate and butter in a heatproof bowl over simmering water. Stir until smooth.
Mix dry ingredients: Combine cookie crumbs and chopped nuts in a separate bowl.
Combine ingredients: Pour melted chocolate and butter over cookie-nut mixture. Add rum. Mix until it forms a sticky dough.
Shape balls: Scoop small spoonfuls and roll into walnut-sized balls.
Coat: Roll the balls in cocoa powder or powdered sugar.
Chill: Place on a tray lined with parchment paper and refrigerate for at least 1 hour before serving.