Finely crush the vanilla wafers and place in a large bowl. Add the walnuts, 1 cup of the confectioners' sugar and the cocoa powder. Mix in the tequila and agave nectar. Place the dough in the refrigerator to firm up, 20 to 30 minutes.
Put the remaining 2 tablespoons confectioners' sugar in a medium bowl. Shape the dough into 1-inch balls and roll in the confectioners' sugar. Place the balls on a baking sheet, cover them with plastic wrap and refrigerate overnight. You can store the balls in an airtight container for up to 2 weeks for maximum boozy taste.
Before serving, roll the balls in confectioners' sugar and dust with chipotle powder and cayenne.