I don't think you should consider to eat penguins because:

1. They are an animal(I'm opinion)

2. Bad health issues can occur to you.

3. Why would you want to eat a penguin.

4 Why would you want to ask that in Yahoo! Answers and you can just go to a recipe website?

5. Oh! you were dared? OK, well go to recipe websites to figure that out

Have a nice day!! (@_@)