Mix butter, sugar, sweetened condensed milk together in a large mixing bowl. Add coconut, pecans and vanilla, mix well. Chill for about 1 hour.
Remove from refrigerator and form mixture into small round balls using your hands. Place on a large cookie sheet lined with wax paper. Continue until all the mixture is gone. Chill again for about 30 minutes. This makes it easier to handle during dipping.
While mixture is chilling, using a double boiler, melt chocolate chips and add the paraffin wax to the chocolate chips.
Dip the candy into the warm melted chocolate using a tooth pick and set on cookie sheet lined with wax paper. Allow to cool and then place into candy dish or box.