Gather all your ingredients and ensure your workspace is tidy. Measure out the walnuts, oats, salt, tahini, coconut, honey, and vanilla extract.
In a large mixing bowl, combine the diced walnut pieces, gluten-free oats, and salt. Stir them together until they are evenly mixed.
Add the tahini, finely grated coconut, honey, and vanilla extract to the bowl. Use a spoon to mix everything thoroughly.
With clean hands, take small amounts of the mixture and roll them into bite-sized balls, about 1 inch in diameter.
Roll each ball in the extra finely grated coconut to coat them evenly.
Place the coated Coconut Halva Balls on a baking sheet lined with parchment paper. Chill them in the refrigerator for at least 30 minutes to firm up.