Credit to KTKarona on TrueTrophies for this guide.
After you've returned the crown to the Ice King, he will ask you to look out for Gunter and the other penguins on your journey. The Jeff (the name of the boat) can only carry six passengers, so you will need to make a few trips between this and the Candy Kids you'll find throughout for another sidequest.
One penguin can be found in the Candy Kingdom in an alley shortly after entering on the left.
One can be located on Gelato Island.
One is chilling behind some enemies in the Badlands.
One is near the second dock in the Evil Forest when you return to search for Fern.
One is on Firebreak Island.
Three are found on Matchbook Island near the back/rear.
Two can be found near the front of the Fire Kingdom.