One of the ways hot animals can survive cold is by using something called counter current heat exchange. Hot blood leaving the body meets cold blood returning warms it reducing the impact of cooling. It also helps to have more fats (lipids) in the blood and having cells with a very low water content that can respire anaerobically (without the need for oxygen). Just a few options but not sure which ones penguins use. You might also consider that although antartic snow is cold it is a dry powder which can insulate if it builds up enough, or you stay still and hide your feet.
