Penguins do not build or utilise structures commonly thought of as "shelter". Instead, during cold winters, penguins huddle together in a large mass to stay warm, with young penguins safe at the center of the pseudo-shelter.
They do not take shelter, they huddle. Penguins have a method of surviving extreme cold by their social behavior called huddling. They huddle together in group that is sometimes several thousands penguins.
Penguins shelter in the liquid sea, which in the Southern Ocean is warmer than the ambient air. On land while breeding, male penguins gather in creches and move in short steps within the creche to stay warm.
a penguins shelter are their surrounding penguins! huddling in a large circle, penguins use each other's body heat to keep each other warm. after about half an hour, they switch positions, the inside penguins moving to the outside, and the rest taking a few steps inwards. It's an amazing sight.
For humans, there is no natural shelter on the continent. For breeding animals that live in the sea -- penguins and seals, the sea is generally warmer than the ambient air, so their shelter from the extreme cold and winds is in the water.