I drink whey protien shakes, and added coconut milk instead of water to the chocolate flavor and it turned out really thick like a fast food shake. I don't know if coconut milk has any benefits like coconut oil.
I cook with the oil, it's great for Thai food, like curry. I use it as a wonderful face soother also. I mix in a little virgin olive oil to make it more spreadable. I bought mine online, but can't remember where, it's been a while. It is in the news more often now. It is also supposed to help break down "brown fat", the kind that collects around your organs and causes disease.