Arrange 12 cookies on a baking tray, bottom side up. Spoon 1 tsp. Dulce de Leche onto cookies. Cap each round with another cookie. Spoon another 1 tsp. Dulce de Leche onto that cookie and cap with a third cookie to create 3-layers. Gently press cookies together so filling spreads to edge of cookies. Rest in freezer for 15 to 30 minutes or until caramel is stiff.
Roll sides of cookie in coconut. Keep in freezer until ready to enjoy.