DIY Coconut Rum
from http://www.seriouseats.com/

Unfortunately, most coconut-flavored rums have a strong artificial flavor or lack a true undertone of good quality rum. Most of what we know as coconut rum is actually coconut liqueur—in addition to rum and coconut (or coconut-like flavoring), it also contains sugar. A lot of sugar. Because of this, using coconut rum as a substitute for rum would be like using simple syrup as a substitute for water. These sweet coconut rums are 42 proof—for comparison, a typical rum would be 80 proof, and most flavored rums are around 70 proof.

Malibu is the most ubiquitous brand, and it's easy to find at most liquor stores for about $14. Captain Morgan Parrot Bay, Coruba, Cruzan, and Don Q are a little harder to come by, but they're in the same price range. When used sparingly, Malibu and the rest of this 42-proof gang can add a little tropical splash to a drink. Alternatively, you could use good white rum and a dab of coconut creme from a can.

Since this recipe doesn't have any sugar, it's a nice way to put a little coconut in your drink without adding sweetness. For more flavor, you could add vanilla, peppercorns, grains of paradise, cardamom, ginger, basil, lemongrass, or chiles. If you're looking for a final product that's a bit closer to Malibu, you can add in some simple syrup to taste.

Notes: If you cannot find a whole coconut, you can substitute dehydrated, unsweetened coconut chunks. Soak them in warm water until they are moist again, about 30 minutes. The flavor will not be as bright as with a fresh coconut, and you may have to adjust your steeping time. Note: A mature coconut should yield about 12 oz of copra (coconut meat) after shelling and peeling off the brown backing. This is equivalent to about 4 oz dried coconut. Dried grated coconut runs about 4 oz to one cup lightly packed so a whole coconut will be about 1 cup of dried grated coconut.

Another Site's Review of this recipe:

Nose: Mild astringency, slight nuttiness, hint of tropical fruit Taste: Really soft entry, immediately reminiscent of coconut water. Coconut flavor in the way we typically think is barely there, but the coconut water flavor is very prominent. Like drinking a coconut water spiked with white rum. Not unpleasant, but not a replacement for what we call "coconut rum" either. Would be fun to play with in cocktails, though.

1 whole, ripe coconut
2 1/2 cups light rum

Locate the three black dots, or "eyes," on the coconut. Hold the coconut securely, then pierce a hole through one of the eyes by tapping the screwdriver with the hammer. Drain the coconut water out and reserve it for another use.

With a firm hold on the coconut with one hand, use the other hand to tap forcefully around the center equator of the coconut with the hammer. Rotate the coconut and continue to tap along the equator until you see a crack forming. (Some stores will even start a hairline crack in the coconut in order to make this process easier.) Once the crack has gone across most of the coconut, pry the coconut apart with your hands or with the screwdriver.

Use a sharp knife to separate the white coconut meat from the coconut shell. Discard shell. Chop coconut meat into chunks—you will get around 10 ounces of coconut meat.

Place the coconut chunks in a sealable glass jar and pour in rum. Seal and shake. Let it steep for a minimum of two weeks and up to three weeks, shaking often. Sample as you go to see how the flavor is progressing. Once desired flavor is achieved, remove the coconut chunks. Strain through cheesecloth or coffee filter, then store in a glass bottle or jar at room temperature for up to a year.

Makes about 2 1/2 cups