Gradually add the dry ingredients to the wet mixture, stirring until a soft dough forms. (Pinch off a bit in between your fingers; it should stay together. If it's still crumbly, blend in a touch milk only if necessary, a tablespoon at a time, but no more than 3 tablespoons total.)
Wrap the dough in plastic wrap and chill for 30 minutes.
Line a baking sheet with parchment paper. Set aside.
Lightly dust a clean work surface and rolling pin with flour. Roll out the chilled dough to about 1/4-inch thickness.
Use a round 2-inch cookie cutter to cut circles out of the rolled dough and place them on the prepared baking sheet.
Chill the cookies in the fridge for 10 minutes while you preheat the oven to 350°F
Bake for 10–12 minutes or until edges are slightly golden. Cool completely.
Spread 1–2 teaspoons of dulce de leche on the flat side of one cookie and top with another to form a sandwich. (If the dulce de leche is too firm, you can warm in the microwave for just a few seconds to loosen. It should not be runny.)
Roll edges in shredded coconut, then dust the alfajores cookies with powdered sugar