There are recipes for cookies called rum balls which have already worked out the proportions. Usually made of crushed cookies, maybe nuts, rum, powdered sugar. Look at food network, allrecipes, king arthur flour sites.
I don't think you would want to add real rum to these, because the additional liquid would make it nearly impossible to form them into balls. However, you could use a good quality rum flavoring in addition to or in place of the vanilla extract.
Thanks for the advice Lori T. That was my concern. I'm not sure what a rum ball is or what a good recipe for them would be. I might try the replacement as you suggest. I guess I just have to bake them to see what I get.
Technically, rum balls are usually made with crumbled up vanilla wafers and are no bake cookies. But my German grandmother made "nuss kugeln mit rum" for Christmas every year, which are very similar to Mexican Wedding cookies, Russian Teacakes, and others. Flavorings can easily be switched around, as can the type nut you use. Hers used hazelnuts, where my Oklahoma grandma used pecans. German grannie used Rum, Okie grandma used vanilla. I've used the recipe in the Fannie Farmer book, and though they are not as melt in the mouth, they are still good cookies- and a little rum flavoring would not hurt at all.
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