Add beaten egg, icing sugar, marshmallows, well-drained and quartered cherries and walnuts. Stir to mix. Cool if very warm. Form mixture into a roll.
Sprinkle some coconut over countertop, in space big enough to move roll around to coat with coconut. After well coated, wrap in either wax paper or plastic. Chill well before attempting to slice. Slice thinly with clean sharp knife.