If the aldehydes you are using are solid they have gone "off". I can't think of many aldehydes used in perfumery that are solid (Vanillin and Ethyl Vanillin come to mind). Aldehydes are quite polar so you may have problems dissolving them in Coconut Oil.
Firstly, check your supplier, and get a better quality material. Secondly try using iso Propyl Myristate or Diethyl Phthalate as a solvent for your aldehydes.