Sorry Marmee it's taken me so long... but had to make another batch to test it again.  The yoghurt is not a thick a dairy yoghurt but I have read you can add some agar agar and tapioca flour to thicken it up.  (I have not tried this in my testing)
Firstly I made the coconut milk in the Thermomix, but you could also make it with canned coconut milk.
Making Coconut Milk in Thermomix1.  Put 300g Dessicated Coconut and approx 900g Water  (I add more water than the recipe from the Everyday Cookbook)
2.  Cook for 
10 mins  at 
100 degrees on 
speed 43.  Pulverise for 
30 secs on 
speed 8Strain through stainless steel mesh strainer and press out all the liquid.  This makes approx 500g of coconut milk.
To make the yoghurt1. In the Thermomix, cook the coconut milk for 
7 mins at 
70 degrees on 
speed 12. Place 2  heaped tablespoons of organic plain yoghurt in a ramekin.  Make sure the ramekin and spoon have been washed in hot water.  Shake out the water, do not wipe with tea towel or anything that will corrupt the yoghurt.  Set aside to reach room temperature.  
NB  I use dairy yoghurt as a starter, but you could use plain soy yoghurt or possibley purchase a probiotic non-dairy starter.
3.  Let the coconut milk stand in the Thermomx bowl until the 37 degree light goes off on the Thermomix.  Then pour a little amount of coconut milk into your ramekin with your yoghurt starter  (using your clean spoon) and mix to a runny paste.
Add back to your remaining coconut milk in the Thermomix.  Also add 1  heaped tablespoon of honey (gives the yoghurt starter something to feed on)
Optionally here add 1 tsp of agar agar powder and 1 tsp of tapioca flour to thicken.
4.  Mix for 
4 secs on 
speed 35.  Cook for 
7 mins at 
37 degrees on 
speed 1
6.  Pour the coconut milk yoghurt into a food thermos (I usually let stand for 10 mins with boiling water in the thermos to pre-warm it).
7.  Let the yoghurt stand for about 5 hours.  Then pour into a clean glass jar and refridgerate.
Enjoy!!   

As I mentioned above, it is  not the thickest yoghurt you will ever make, but it tastes very scrumptious.  
Squirrel