In a large food processor fitted with an "S" blade, process the walnuts and coconut until crumbly.
Add in the dates, vanilla and sea salt and process again until a sticky, uniform batter is formed. (You can add a tablespoon of coconut oil, only if needed to help the mixture come together.) You don't want to over process, or the batter will become oily, so process until crumbly, but sticky when pressed between your fingers.
Scoop the dough by heaping tablespoons, then roll between your hands to form balls. Arrange them on a baking sheet lined with parchment paper, then place in the fridge or freezer to set for at least 30 minutes before serving. Store the balls in a sealed container in the fridge for up to a week, or in the freezer for an even longer shelf life. (I prefer them frozen, myself!)
For a gourmet-looking truffle, you could also roll them in shredded coconut or cocoa powder before chilling.