Beat together butter, sugar, milk, and vanilla until creamy. Stir in flour, then add the cherries and pecans.
Form dough into a log shape--I like mine about 2-2 1/2 inches around. Lay out a large piece of plastic wrap, and place the coconut down the middle. Roll the dough in the coconut, making sure to cover all the surfaces. Wrap it all up in the plastic wrap, then chill for a few hours, or overnight.
Once the dough is chilled, remove from the fridge and unwrap. Slice the dough logs in to 1/4 inch circles. Bake at 375 for 12 minutes, or until edges are golden brown. Cool on a wire rack.