Peel the labels off of the old water bottle. Wipe away any sticky residue. Stuff each of the water bottles full of cotton balls, and put the lids back on. You may want to glue them on so kids can't open them later. 

From the black construction paper, cut out the following shapes: 2 big rectangles the same size as the water bottle (you'll glue these on the back), 2 rectangles that will go around the neck of each bottle, 2 circles the same size as the lid, and 4 wings the same length as the big rectangle pieces.  (I didn't include measurements for these pieces, because your bottle may be a different size than mine. Use the image below for reference.) 

Glue all of the pieces of construction paper to each bottle. The large rectangle goes on the back of the bottle with 2 wings glued on top of it. You'll want to be sure the wings stick out from the sides of the bottle. 

Glue the black circle to the top of the lid, and wrap the rectangle piece around the neck. Glue this at the backside of the bottle. This will be the penguin's head.

Stick two eyes on each penguin's head along with a small triangle beak from the orange foam.

Cut four little feet from the orange foam, and glue two on the bottom of each bottle. 

Cut a scarf from the felt for each bottle. Wrap it around the neck and glue it in place. 

Cut a small rectangle from felt so that it will fit around the lid. Glue it together at the back and pinch the top together. Tie the top with string so it looks like a winter hat. Cut off any excess felt above the string.

For the other penguin, cut a small piece of pipe cleaner. Glue a pom pom on each end, and glue it to the top of the plastic bottle so that it looks like earmuffs.

Now, you've got two cute winter penguins! You could make a whole colony of penguins, and add them to your dramatic play area for hours of imaginative fun!