The original wording of this phrase was ". . . in the wind," as mentioned in the above-referenced phrases.org.uk entry. The entry cites Pierce Egan's character's descripton of a drunk cobbler in Real Life in London, 1821,
Old Wax and Bristles is about three
sheets in the wind,
as possibly the earliest use in print. This is reiterated by many other phrase-origin sites.
Also mentioned is the "sliding scale" of drunkeness coined by sailors whereby an inebriated person could be anywhere from one to four "sheets in the wind."
I decided to take these possible variations of the phrase and plug them in to Google's Ngram Viewer. I found an earlier instance of the phrase in print.
In The Journal of Rev. Francis Asbury, first published in 1815, the Methodist Episcopal itinerant preacher describes a trip through Kentucky in 1813:
While this may not answer the ultimate question of the phrase's origin, it does show a use of the phrase several years earlier than previously reported and from an American source rather than British (although Asbury was born in England).
Update 3/16/11: Gary Martin has now updated his entry on this phrase at The Phrase Finder to include the Asbury citation.
As jargon for an unsolicited sales pitch, cold call, was used way before the 1970s. The earliest use I can find is from Volume 100 of The American Magazine in 1925:
. . . I do need insurance.' He signed up forthwith for five thousand dollars. "I suppose you might call that opportunity a 'hunch.' I had no introduction to the man, no personal link of any kind. It was a cold call, and it won.
This snippet is all I can get through Google. If anyone can access this magazine, it would be great to get more context for the quote. The term seems to have been popularized thereafter by salesmen trade publications in the later 1920s.
The phrase itself is most likely older than this. I have two other citations where the meaning of its use is not exactly clear to me. The first is from a collection of field notes
taken by British entomolgist Augustus Radcliffe Grote and published in 1877:
I also had visitors still higher up in the scale of nature. Some Indians, from the Reservation near by, paid me a cold call. These did not come to 'sugar,' reconnoitring perhaps for whisky.
This seems to suggest that the phrase may have formed as a variation of the phrase pay a call (in use since the early 1800s and itself a variation of pay a visit--in use since at least the mid-1600s). But it could also just be describing the demeanor of the Indians.
The second is substantially earlier and is from Vol. XII of The Oriental Herald, and Journal of General Literature, 1827:
The same feeling forbade to wait the result of a cold call for Colonel J. W. Adams's services ; and the staff of the army was completed before that veteran could recal his leave of absence on account of sickness.
Again, it is unclear what exactly is meant by cold in this citation. It could mean the call was calculated and unfeeling, but it could also imply that it was unexpected.
Best Answer
The phrase is “crazy in the coconut”:
It refers to the slang meaning of coconut as head whose usage dates back to the first part of the 19th century.
(GDoS)