Make the cookies: Whisk together the flour, baking powder and salt in a medium bowl. Beat the butter and sugar in a large bowl with an electric mixer on medium-high speed until light and fluffy, 3 to 5 minutes. Beat in 1 egg and the vanilla until incorporated. Reduce the mixer speed to low; add the flour mixture and beat until just combined.
Turn out all but 1/4 cup of the dough onto a floured surface. Add 3 drops orange food coloring to the dough left in the bowl and mix on low until evenly colored a vibrant orange. Flatten the orange dough into a disk, wrap in plastic and refrigerate until just firm, about 20 minutes.
Wipe the mixing bowl and paddle clean and add 3/4 cup of the remaining uncolored dough back into the bowl. Add 4 drops black food coloring and mix on low until evenly colored a deep black. Form the black dough into a rectangle, wrap in plastic and refrigerate until just firm, about 20 minutes.
Make the penguin's body: Roll the remaining uncolored dough into a cylinder 9- to 10-inches long and about 1 1/2-inches wide. Wrap in plastic and set aside at room temperature.
Divide the orange dough into 3 equal pieces (these will be the feet and the nose). Roll into 3 ropes, 9- to 10-inches long and about 1/3-inch wide. Press one rope into a triangle shape by flattening the sides (a ruler is helpful for this). Wrap the orange pieces separately in plastic and freeze until hard, about 15 minutes.
Slice through the uncolored cylinder lengthwise to make 2 long half-moons. Brush both halves on the cut side with the egg wash. Press the orange triangle rope down the center of the cut side of one of the halves. Cover with the other half and press together to seal and re-form into a cylinder.
Make the black part of the penguin's body: On a floured surface, use a rolling pin to roll the black dough into a 1/4-inch thick 9-by-4-inch rectangle, with the long side facing you. Use the rolling pin to flatten each of the long sides out 1 inch more so that the edges are thinner and the rectangle mounds in the center. The rectangle should be 9 by 6 inches. Brush the black rectangle with the egg wash then wrap it around the uncolored cylinder, pushing with your hands to adhere the doughs. There will be a thicker layer on top of the cylinder (the penguin's head) and a thinner layer on the bottom.
Adhere the feet: Brush the thinner, bottom part of the black dough with egg wash and press the 2 thin orange ropes along the length of the dough about 1/4 inch apart (these will be the feet). Wrap in plastic and use the heels of your hands to form the log into an egg shape; the head should be the narrow end. Freeze until solid, about 2 hours.
Preheat the oven to 350 degrees F. Position racks in the upper and lower thirds of the oven. Line 2 baking sheets with parchment.
Cut 1/4 inch off each end of the cylinder with a very sharp knife to reveal the penguin face. Slice the cylinder into about 1/4-inch-thick cookies. Arrange the slices about 1 1/2 inches apart on the prepared baking sheets. Bake, rotating the pans halfway through, until crisp and just starting to turn brown on the bottom, 10 to 12 minutes. Let the cookies cool on the baking sheet for 10 minutes before transferring to a cooling rack to cool completely.
Line another baking sheet with parchment. Melt the red candy melts in a small glass bowl in the microwave in 30-second intervals, stirring in between, until completely melted and smooth. Dip the top of each penguin's head in the red candy melts to make a hat; dip the heads slightly off-center for a jaunty look. Put the cookies on the prepared baking sheet. Stick a marshmallow on the center of each hat for a pompom and let the candy melts harden, about 15 minutes.
Meanwhile, melt the white candy melts in a glass bowl in the microwave in 30-second intervals, stirring in between each, until completely melted and smooth. Transfer to a small resealable plastic bag and seal. Cut a very small hole in one of the corners of the bag and decorate the hat as desired. Use the white candy melts to attach 2 mini chips for the eyes. Let the candy melts harden completely before serving, about 15 minutes.
When measuring flour, we spoon it into a dry measuring cup and level off excess. (Scooping directly from the bag compacts the flour, resulting in dry baked goods.)
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