Off with their heads!

Well, actually, I'd like to avoid heads falling off, and that's where I need help. 

I made these little guys a while back, but their heads aren't attached yet. I've been trying to avoid drilling, but maybe I just have to bite the bullet? 

Anyway, these are for my daughter. She loves penguins and she loves skeletons. Yeah. Blame this video for that last one. 

I got some wooden door knobs, painted them black with craft paint, then made their faces/skull, bodies. Finally I added a felt beak, feet, and small stickers for the pupils on the penguin. Then I tried to get their heads to stick. No dice. I've tried so many different ways to get these heads to stay, but they never stay for very long. 

Any suggestions? These guys need to get their heads screwed on right... Do I need to drill it into them?