I get this event all the time- problem is though, they usually appear outside of the "fat cross" of any of my cities, and instead, appear in some remote arctic area within my borders that contains absolutely nothing of value, and can produce no food whatsoever.
Anyways, if they're not a resource to be harvested (maybe for zoos or something- one would think that this would be the source of the +1 happiness they bestow), then most of the time, no city will ever be able to take advantage of them. This, of course, would not include the Illians... that is, if they get some sort of bonus to building in arctic regions... but then again... that begs the question... why would the Illians like penguins?
That said, they are really cute.