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Cream butter and sugar in large bowl. Beat in egg and vanilla.
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Combine flour, pecans and baking soda in small bowl.
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Add to creamed mixture, until stiff dough is formed.
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Sprinkle coconut on work surface.
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Divide dough into 4 parts.
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Shape each part into a roll, about 1 1/2 inches in diameter; roll in coconut until thickly coated.
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Wrap in plastic wrap; chill until firm, at least 1 hour or up to 2 weeks. (For longer storage, freeze up to 6 weeks.).
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Cut rolls into 1/8 inch thick slices and place on ungreased cookie sheets.
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Bake at 350 degrees for 10-13 minutes. Cool.