PREHEAT broiler. Spread frosting evenly on one side of each graham square. Sprinkle 4 of the squares evenly with pecans; press pecans lightly into frosting to secure. Sprinkle coconut evenly over the remaining frosted graham squares; press coconut lightly into frosting to secure. Set aside.
PLACE marshmallows in shallow baking pan. Broil to desired doneness.
TOP each pecan-topped graham square with 1 marshmallow; cover with coconut-covered graham square to make sandwich.