Line 2 cookie sheets with waxed paper. On 1 cookie sheet, arrange pecan halves in 12 clusters of 3 to form base of each penguin--2 face forward for feet and 1 perpendicular across back.
In 1-cup microwavable measuring cup or narrow glass, microwave candy coating uncovered on High 45 seconds; stir. Continue heating and stirring every 10 seconds, just until smooth.
Insert wooden or metal skewer into one flat side of marshmallow; dip first 1 side, then turn and dip other side into melted chocolate, to look like wings, leaving center of marshmallow white for breast of penguin. Place dipped marshmallow (for body) on top of 1 peanut butter cup candy (for head), using open tips of kitchen scissor or knife to push marshmallow off skewer. Place on other cookie sheet (penguin will be upside down). Repeat with remaining marshmallows and candies. Let stand until chocolate is set, about 5 minutes.
Using remaining melted chocolate, spoon a small amount onto each cluster of pecans to hold them together; allow chocolate to set, about 5 minutes.
To finish each penguin, turn penguin body and head right side up (candy on top). Attach to pecan cluster, using a small amount of melted candy coating. After about 5 minutes or when set, make small opening in marshmallow with tip of knife at top of breast, and firmly press 1 piece of candy corn in for beak.