In a medium saucepan over medium heat, stir together milk and sugar until smooth. Heat, without stirring, to between 234 and 240 degrees F (112 to 116 degrees C), or until a small amount of syrup dropped into cold water forms a soft ball that flattens when removed from the water and placed on a flat surface. Remove from heat and stir in coconut and vanilla. Let cool slightly.
Drop by rounded spoonfuls onto waxed paper lined sheets and let cool completely.