To toast nuts:  Preheat oven to 350 degrees F (177 degrees C) and have rack in center of oven.   Place the pecans on a baking sheet and toast for about 8 minutes, or until lightly browned and fragrant.  Let cool completely and then either chop up finely with a knife or place in your food processor and pulse until finely chopped.  Transfer to a large bowl.

Process the vanilla wafer cookies or shortbread cookies in the food processor until finely ground.  Add the crumbs to the finely chopped pecans.  To this mixture add the confectioners sugar and cocoa powder and stir until combined.  Add the corn syrup and rum and mix well.  Chill if necessary and then shape into 1 inch (2.54 cm) balls.  Place the sifted confectioners sugar into a small bowl and roll the rum balls in the sugar. 

Store in an airtight container in the refrigerator.  These are best if made several days in advance of serving to allow the flavors to mingle. 

Serve at room temperature.

Makes about 4 dozen (48 rum balls).