In a high speed blender or food processor, combine your shortbread cookies and walnuts, and blend until thick crumbs remain.
Transfer the mixture into a large mixing bowl. Add 1/2 cup shredded coconut, along with the rest of the ingredients, and mix until combined. If the dough is too thick, add some water, one tablespoon at a time, until smooth.
Using your hands, form 12 small balls of dough. Roll each ball in the remaining coconut and place the coconut covered balls on a lined plate or tray. Refrigerate for 30 minutes, to firm up.
TO STORE: Rum balls can be stored at room temperature, covered, for up to 2 weeks. The balls will be soft in texture. However, if you'd them firmer and thick, keep them stored in the refrigerator. They will keep well for up to 2 months. TO FREEZE: Place rum balls in a ziplock bag and store them in the freezer for up to 6 months. GIFTING: Use a glass jar or a paper box lined with parchment paper. Place the rum balls in them and keep them stored in the refrigerator until they are ready to be given as edible gifts.