Melt butter and chocolate chips in a pan over low heat. Let the mixture cool slightly before stirring in walnuts and marshmallows. Let cool.
Spread coconut on waxed paper. Divide the cooled dough into two even portions. Form each portion into a long roll. Coat the rolls with the coconut. Wrap the rolls in waxed paper then again in cling wrap. Refrigerate overnight or longer. Cut into 1cm slices to serve.