Preheat oven to 350°F. Spread oats and nuts on a baking sheet. Bake for 8 to 10 minutes or until oats and nuts are toasted; let cool. Grind the oats and nuts in a food processor until mixture clings together, about 2 minutes. Then add the dates, honey, coconut oil, and vanilla extract. Process until dates are blended and mixture holds together.
Form into 3/4-inch balls, about 1 teaspoon each. Roll balls in coconut. Store, covered, at room temperature for up to 3 days.