Place roasted sweet potatoes, butter, milk, vanilla and almond extracts, cinnamon and rum (if using) in a food processor and process until smooth. Place the potato mixture in the bowl of an electric mixer fitted with paddle blade.
Add coconut and 1 pound of the sifted powdered sugar. Mix well. Add more sugar one cup at a time until you reach a consistency of hard cookie dough. Shape into balls about 1 1/2 inches around. Dust with powdered sugar. Refrigerate until serving time.