Crush the cookies in a food processor, or in a zip-top bag with a rolling pin, until finely ground with a few small pieces left for texture.
In a large mixing bowl, whisk the cocoa powder, powdered sugar, and salt together until no lumps remain.
Add the crushed cookies and softened butter to the cocoa mixture. Rub the butter in with your fingers until the mix looks like damp sand.
Pour in the rum and vanilla. Mix with a spatula, then knead briefly with your hands until the dough holds together when pressed and no longer feels crumbly, adding another teaspoon of rum if it's too dry.
Spread the shredded coconut on a plate.
Scoop out 30 g portions of dough and roll between your palms into logs about 5 cm / 2 inches long.
Roll each log in the shredded coconut, pressing gently so it sticks.
Arrange the logs on a lined quarter sheet pan (23 x 33 cm / 9 x 13-inch) and chill in the fridge for at least 1 hour, until firm, before serving.