Line an 8 X 4-inch loaf pan with wax paper. In a medium saucepan, heat heavy cream until mixture begins to simmer. Remove from heat; stir in chocolate chips. Let stand 5 minutes.
Add butter and vanilla; stir until smooth. Pour into lined pan and smooth evenly. Cover and refrigerate for at least 4 hours. Unmold chocolate mixture from pan onto a cutting board and cut into 24 squares. Roll squares in coconut.
Keep in refrigerator, covered, until ready to serve. Store in airtight container for up to 2 weeks.