Preheat oven to 300°.
Lightly spoon flour into dry measuring cups; level with a knife. Combine flour and next 4 ingredients (through nutmeg). Place sugar, vanilla, and eggs in a large bowl; beat with a mixer at medium speed 2 minutes or until thick. Add flour mixture and coconut; stir to combine (dough will be very sticky). Turn dough out onto a heavily floured surface; knead lightly 7 or 8 times. Shape dough into a 15 x 3-inch roll. Place roll on a baking sheet lined with parchment paper, and pat to 1-inch thickness. Bake at 300° for 40 minutes or until roll is golden brown. Cool for 5 minutes on a wire rack.
Cut roll diagonally into 20 (1/2-inch-thick) slices; stand slices upright on baking sheet. Bake 20 minutes (cookies will be slightly soft in center but will harden as they cool). Remove from baking sheet; cool completely on wire rack.