Place biscuits in a food processor and process to make fine crumbs (or crush well in a large zip lock bag with a rolling pin).
Transfer crumbs to a mixing bowl. Using a wooden spoon, stir in condensed milk, coconut, cocoa and rum and mix until well combined.
Refrigerate for 20 minutes or until cold and firm.
Sprinkle the coconut onto a large dinner plate
Using damp hands, roll level tablespoons of mixture into balls.
Roll the balls in the coconut (or your choice of coating) and put into an airtight container.