Line a large rimmed baking sheet with parchment paper or a silicone mat and set aside.

In the bowl of a food processor, pulse the vanilla wafer cookies into very fine crumbs for 30 seconds. Pour the cookie crumbs into a large mixing bowl and set aside.

To the same bowl of the food processor, add the walnuts and pulse for 30 seconds or until the nuts are very finely ground. Pour the ground walnuts into the bowl with the cookie crumbs. (Note: there is no need to clean the bowl of the food processor between steps 2 and 3)

Add the powdered sugar and Dutch-process cocoa powder to the bowl and stir all the ingredients together until well combined.

Add the vanilla extract, light corn syrup, and dark rum to the cookie mixture and stir well, using a rubber spatula, until the rum ball mixture is evenly mixed, and all the ingredients are well blended.

Using a 1.5-inch cookie scoop, scoop out a rum ball and roll it in the palm of your hand to shape a smooth ball with the mixture. Place the rolled rum ball onto the lined baking sheet and repeat until all the mixture has been rolled into balls.

Roll each of your rum balls into the different optional coatings (one coating per rum ball) until you have coated all the rum balls with a coating. Once you have rolled a rum ball in a coating, you will return it to the baking sheet.

Refrigerate the rum balls for at least 8 hours or up to overnight before placing them onto a plate and serving.