Slice a V into the tip of a large pitted black olive and fill it with cream cheese. Cut a V from a thin carrot “coin,” saving the V for the penguin’s beak. Add a dab of cream cheese to the carrot coin and stand the olive on top of it.
Add a head, beak, and eyes, by inserting the carrot V into the opening of a smaller olive. Poke two tiny holes in the olive with a toothpick and fill with cream cheese. Set a smaller olive on top of a larger olive.
For wings, cut two olive slices and secure with cream cheese to the sides of the large olive. For a snowy look, place penguins on a Parmesan-dusted tray.