Bar term - on the rocks... but a bit of a parallel with the penguin... they reside in cold, rocky areas... so they're shakin' because they're cold and they live in/on the rocks.
Inspired by the phrase 'Catch Me If You Can' - I think this has the great makes of a campaign slogan... to chase the penguin... Kind of like 'follow the rabbit' in The Matrix. 'Penguin Nights' at bars can play around that phrase.