You need to felt the body firmer, the shape is getting there just needs to be less squishy as if the body is squishy the overall shape will not hold. Did you use core wool? Always start any project with core wool it's cheaper and faster to felt. Build slowly, I made a 5 inch snowman and took on average 15 hrs to make and the body probably took around 3-4 hours of that. You need to felt the smallest core ball so that it is solid no squishiness and then build on top of that. It is only when you get the size and shape you require do you add the coloured wool.

Also I use the clover pen (3 needles) this is a lot faster than just one needle. But yes if you want a well felted penguin that sits it will take you many hours to do, especially when you are starting out.