Place vanilla wafers in heavy-duty plastic bag and crush with rolling pin to make fine crumbs, or place wafers in food processor and process until fine. You should have about 3 cups of crumbs.
Place wafer crumbs in large bowl.
Add 1 cup confectioners sugar and cocoa powder. Stir until blended. Add nut filling, rum, and corn syrup, and mix until combined. Dust hands with confectioners sugar. Shape mixture into 1-inch balls.