Place the roughly chopped walnuts in a medium pan over medium-low heat. Toast, tossing frequently, until they smell nutty and have lightly browned - about 7 minutes.
Place the oats and toasted nuts in a food processor and pulse several times until you have a course crumb.
Add the remaining ingredients and pulse until combined. You should be able to squeeze the mixture into a ball and have it stick together.
Roll the mixture into about 16 balls and press your thumb into the middle to make an indentation.
Optionally, roll each ball in desiccated coconut before making the thumbprint.
Fill each thumbprint with your favorite jam or chocolate ganache. To make vegan ganache, combine the coconut milk and chocolate in a small pot over medium-low heat and cook, stirring, until the chocolate is melted. Spoon into the cookies.