Demonstrate this with two large sheets of paper. Try to push a sheet of paper through a pan of water. It doesn't push very well. Fold another large sheet of paper five or six times and try pushing that through the water. The smaller, stiffer paper, like a penguin's wing, works better.
Most birds have hollow bones to make their bodies light enough to become air-borne.
But the penguins' heavy, solid bones help them float lower in the water. You can demonstrate the difference between hollow bones and solid bones with two toilet paper rolls, one empty the other stuffed with tissue paper. Float an empty can in a bucket of water open end up. Add sand to another can until it sinks slightly. Now push down on both cans.