Prepare a large baking sheet by covering with wax or parchment paper; set aside.
In a large bowl, cream together butter, sweetened condensed milk and vanilla.
Add confectioners' sugar; mix well to combine.
Add chopped pecans and coconut; again, mix well to combine.
Roll the candy mixture into 1-inch balls.
Place candy on the prepared baking sheet.
Place in the freezer and freeze balls for 30 minutes; alternatively, place in the refrigerator for 2 hours.