Line a baking sheet with parchment paper. Insert a lollipop stick or toothpick into each marshmallow and set aside.
Place shredded coconut in a shallow bowl or plate. If desired, mix in edible glitter for extra sparkle.
In a microwave-safe bowl, combine white chocolate and coconut oil. Microwave in 30-second intervals, stirring between each, until completely melted and smooth. Stir in vanilla extract.
Holding the stick, dip each marshmallow into the melted white chocolate, turning to coat completely. Allow excess chocolate to drip back into the bowl.
Immediately roll the chocolate-covered marshmallow in coconut, pressing gently to help it stick. Make sure the entire marshmallow is covered for that perfect snowball effect.
Place finished snowballs on the prepared baking sheet. Refrigerate for 15-20 minutes until set. Store in an airtight container in the refrigerator for up to 1 week. These are best served chilled!