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.