Preheat oven to 250F. Line two baking sheets with parchment paper.
In a mixing bowl, whip together the egg whites, cream of tartar, and salt until soft peaks form.
Slowly add sugar, beating constantly until the mixture is glossy and stiff (another minute or so). Beat in the vanilla until just combined.
Spoon three mounds of the mixture onto each baking sheet. Use the bowl of the spoon to shape each mound into a 4-inch wide circle with a 2-inch deep depression in the centre. Sprinkle shredded coconut over each one.
Bake for 1 hour and 15 minutes, or until meringues are dry and coconut has turned golden brown. Once cool, tuck candy into the centre of each nest.
Makes 6 nests.