Squeeze chocolate icing on bottom of each oatmeal cookie. Attach 1 marshmallow cookie even with 1 edge of each oatmeal cookie to resemble body and fan of tail.
At area where 2 cookie edges meet, squeeze about 1/2 teaspoon chocolate icing onto marshmallow cookie; attach pretzel to resemble feet. Squeeze chocolate icing on each oatmeal cookie about halfway around marshmallow cookie; firmly press corn candy into icing to resemble feathers.
With small amount of icing, attach 1 corn candy to each peanut butter cup to resemble beak. Cut each gummi worm in half lengthwise and crosswise. Squeeze chocolate icing around each corn candy beak; wrap 1 gummi piece around top of each beak to resemble wattle, pressing firmly. Pipe small dots of white and chocolate icing on each peanut butter cup for eyes.
Squeeze chocolate icing on largest flat side of each peanut butter cup; place over center opening of each marshmallow cookie to resemble head, pressing firmly.