Preheat oven to 300°F. Spread coconut on non-greased cookie sheet. Toast in oven, stirring occasionally, until it turns light golden, about 25 minutes. Remove coconut from cookie sheet and set aside.
Increase oven temperature to 350°F. In large bowl, add butter and sugar and whip until light and fluffy; beat in egg and vanilla. In medium bowl, combine flour and salt. Blend into creamed mixture. Form dough into 1 inch balls. Roll heavily into toasted coconut.
Place coconut cookies on lightly greased cookie sheets. Make indentation with thumb in center of each cookie. Bake 12 to 14 minutes or until golden brown. Remove cookies. Fill indentations with candies.