Cook sweetened condensed milk and chocolate morsels in a heavy saucepan over medium heat, stirring often, until chocolate morsels melt.
Remove from heat, and stir in rum. Pour into a lightly greased 8-inch square pan. Cover and chill 3 hours or until firm.
Shape mixture into 1 1/4-inch balls, roll in chocolate cookie crumbs and then in powdered sugar. Place balls in miniature paper baking cups, if desired. Store in an airtight container in the refrigerator up to 1 week.