If you're not sure how to do this, have a look at http://greenfoot.org/greenroom/images/1/12/Adding_objects.pdf and it'll walk you through the process.

Much better than it was previously. The collision against the walls is still a bit buggy as pointed out earlier, but I can get it in the hole now, and it's at a decent speed!

You seem to have hit the old labels bug here... or lack of. Doesn't make any difference to the game, but are you running the latest Greenfoot version? As you point out there isn't a timer, but it'd be nice if you added one! Or a score, or perhaps more rockets coming in gradually. Or perhaps starting slowly and speeding up?

The jumping action is fairly smooth (not the same speed up then sudden change to same speed down that's often seen!) but as said already - it's a flying penguin, and they shouldn't exist! Or should they? You can also get stuck half way in the bricks if you enter them from the side.

Hmm I may have found a (very) minor bug - in the second boss level, I somehow managed to get stuck half way down the centre platform (i.e. in it instead of on top of it). It seemed to happen just after I whacked the snake's head, but no idea what was going on there!

If you get really stuck, you can have a look here at something I did a while back - http://mikkle.co.uk/content/naughts-and-crosses - it's a netbeans project that uses Swing rather than Greenfoot and the coding isn't the neatest, but the logic's all there and it (I think) works as it should - so you can't win that is ;)