Cream butter, condensed milk and vanilla until light and fluffy.
Add powdered sugar and mix well. Fold in coconut. Candy "dough" should be fairly stiff. You could chill the dough in the refrigerator at this point if you need to.
Using a small scoop or teaspoon - shape into 1 inch balls and place on rimmed sheet pans lined with waxed or parchment paper. Place sheet pan into freezer for 30-45 minutes.
While candies are chilling, melt paraffin and chips over a double boiler (chips can be melted in the microwave, but paraffin has to be melted over water).
Using a candy tool OR a plastic fork with the inner tines removed OR toothpick, dip candies into chocolate to coat. Drop candies onto wax paper or silpat to harden. Use the tool or toothpick to quickly cover over the hole where you dipped it OR you can come back with a bit more melted chocolate to cover any holes.
As an alternative to the chips/paraffin - use 1 pkg (24 oz) of the chocolate flavored bark stuff (I cheat and add dark chips to it, too, for the flavor).
Coconut Rum Balls - Substitute up to 2 Tbsp light Rum (Captain Morgan's Coconut Rum is a good choice) for the vanilla extract - Yum, but be sure to keep them reserved for the adults. :)