Stir the softened butter in a bowl. Add oats, white sugar, cocoa, and vanilla sugar; stir until well combined. Place in the refrigerator until chilled, about 30 minutes.
Roll into small balls. Roll balls in coconut flour and return to the refrigerator until firm, 30 minutes to 1 hour. The oatmeal balls can now be packed in an airtight container with baking paper in between.