Add the frozen watermelon, rum, pineapple juice, and coconut milk to a blender.
Blend/Puree ingredients together until smooth. Pour into cocktail glasses and garnish. Serve immediately.
Notes
For the best flavor and texture, yes you do. Ice would need to be added to the drink in order to make it frozen, which waters down your cocktail.
Feel free to substitute cream of coconut for the unsweetened coconut milk if you prefer a sweeter cocktail, or you could add simple syrup to the coconut milk.
You can make the recipe ahead of time and place in freezer-safe containers or zipper top freezer bags and place in the freezer until needed.
This is also a great way to save leftover cocktails. Just pull them out a few minutes before needed and place them on the counter to soften, then pour into your glasses.