Like most Blizzard promotional pets, they are Bind on Account and sent to every character you have on every realm. They are also collectible, in that they don't disappear from your inventory after you "learn" them. So, if you have already switched to Battle.net, log in and pick up your new little penguin buddy.

You have until November 11th to switch your account to Battle.net, but the penguin pets are already in-game. I converted my account when I was first able to (which has had its ups and downs) and I logged on this afternoon to find Mr. Chilly in my mailbox on all characters.