Line a baking sheet with parchment paper.
In a double boiler, combine chocolate and butter over medium heat. Stir constantly to avoid burning.
After 3 to 5 minutes, or once the chocolate begins to melt, reduce heat to low. Continue stirring.
Add milk and stir together until smooth for about 2 minutes. Remove from heat.
Stir in pecans, marshmallows, and coconut until everything is thoroughly coated in chocolate.
Spoon out 1 tablespoon of the mixture per candy onto the parchment paper. Be sure to leave a little room between each candy.
Place in the refrigerator and chill for 4 hours.