Penguin-watching is definitely not part of any tourist offering in the Ilha Grande. In fact, nothing could sound more unlikely than the match of a tropical island with penguins (unless, of course, you happened to be a scriptwriter for Lost). But hey, on our recent trip to the island we got to see penguins not once but twice. The first time near the Bananal, the second time near Palmas.
The poor things looked quite weak and, above all, lost. I mentioned the appearance of Magellanic penguins along the Brazilian coast in Penguins in Brazil.