In microwave-safe bowl, combine milk chocolate chips and shortening. Microwave, uncovered, at 50% power 1 to 1 1/2 minutes or until chips are melted, stirring every 30 seconds. Cool slightly. Place small amount of chocolate mixture on top of six marshmallows; top with remaining marshmallows. Let stand 1 hour until set.
Warm chocolate mixture. For penguin bodies, carefully dip sides of marshmallows in chocolate mixture so three-fourths of marshmallows are covered, leaving about 3/4-inch vertical strip of white. Let stand on waxed paper until set, about 1 hour.
For penguin heads, cut Tootsie Rolls into two-piece sections. Place on microwave-safe plate; microwave at 10% power 10 to 15 seconds or until slightly warmed. Carefully roll each into a ball.
With toothpick, position chocolate chips for eyes. For beaks, cut of yellow end of 6 candy corn pieces; flatten remaining candy slightly. Press gently into chocolate balls. Reheat chocolate mixture. Dab small amount onto bottom of each ball; position on penguin bodies. Let stand until set, about 45 minutes.
Separate cream-filled cookies; remove and discard cream filling. For wings, cut six cookies in half. Rewarm chocolate mixture. Spread small amount on each cookie half; attach to penguins with cut edge facing forward.
For bases, attach penguins to remaining cookies using melted chocolate. For feet, remove white ends of remaining candy corn pieces and discard; flatten candy. Attach two candies to each cookie base. Let stand 45 minutes or until set. Makes 6 penguins.
These will perk up spirits during the cold month of January. Celebrate Penguin Awareness Month with these cute critters.