Hi Carla,
I think this may take some time in the refrigerator to get firm enough to cut. You might want to try putting it in the freezer for a while. The mixture should be fairly thick when you press it into the pan. I don't know if adding extra sugar will help it - adding more coconut will give you a denser texture, that may help. (I'm assuming you didn't use a large can of condensed milk.) If it still doesn't firm up, you can try stirring in a couple tablespoons of melted butter - that will help it solidify when chilled. Here's another recipe when the mixture is shaped into balls - you could use what you have and add to it to make these:
Coconut Bon BonsI hope that's a help!
Betsy