Soak 8 bamboo skewers in water for at least 1 hour.
In a large zip-top bag, combine scallops, thawed pina colada mix, rum, salt, pepper, and garlic. Squeeze out air and seal bag. Gently massage to thoroughly combine ingredients. Marinate in refrigerator 15 minutes or up to 30 minutes. Do not marinate longer then this or the marinade will begin to cook the scallops.
Set up grill for direct cooking or a grill pan over medium heat. Lightly oil the grate when ready to start cooking.
Remove scallops from marinade and discard marinade. Thread 3 scallops through 4 skewers and thread the pineapple wedges onto the remaining skewers. Season with salt and pepper. Note: If grilling indoors on a grill-pan, pat the scallops dry before grilling.
Spread toasted coconut on a plate; set aside. Place brochettes on hot oiled grill and cook until scallops are opaque and just cooked through, about 3 to 4 minutes per side. Grill the pineapple until there are nice grill marks and fruit softens a bit, about 4 minutes. Remove from grill and immediately press both sides of brochettes into toasted coconut. Serve hot.