Line a baking sheet with (unbleached) parchment paper.
Combine the oat flour, cinnamon, baking soda, and coconut sugar, then add the coconut oil and vanilla.
Slowly stir in coconut milk or water, as you don't want the dough to become too runny. (I like to add a little at a time as I stir it in until I get the right consistency).
Once the dough is sticky and rolls into a ball, place in between two pieces of parchment paper and roll out into a rectangle.
You can use a cookie cutter to cut out squares or rectangles or just score the dough so the cookies easily crack apart after baking.
Transfer to the baking sheet and place in the oven for 10 - 15 minutes.
Remove from the oven once the edges begin to brown.