To make the icing for the skirt, in a small bowl, combine powdered sugar, meringue powder and add enough water to get the desired icing consistency. Mix in 2 to 3 drops of blue food coloring. Set aside.
To make the hair, divide the coconut into 2 separate bowls and color with yellow food coloring in 1, and red in the other. Set aside.
To make the body, melt white chocolate bars in a medium bowl in the microwave for 30 seconds at a time, stirring in between heating. Dip cones in melted white chocolate. Holding onto the tip of the cone, dip larger end into the blue royal icing, then dust with sanding sugar. Place cones in refrigerator on foil lined baking sheet until white chocolate has set.
While cones are setting, make angels' heads by rolling 1 tablespoon of marzipan into a ball. Set aside.
Remove cones from refrigerator. Gently push heads onto the tips of the cones. Using the remaining melted white chocolate, attach the coconut hair, vanilla wafer halo and the pretzel wings. Carefully draw on faces using food coloring pens.