D.B.
I haven't done it, but I have to say it sounds like a huge amount of work. By the time you take a fresh coconut and separate it, then grind your own flour, I can't imagine it's cheaper on a small scale than it is in a large scale processing plant. It's at least as expensive to ship and store fresh coconuts to areas where they don't grow naturally, than it is to process them elsewhere and ship you the flour.
You don't say why you want to eliminate most grains, but usually it's easier to put into your diet those elements that enable the body to process the ingredients that most of us can eat every day. I work with a lot of people who've done just that, reducing or eliminating food sensitivities.