If you go to Victor Harbour, you can't miss the long boardwalk out to Granite Island. Catch the old horse drawn carriage over to the island, and spend the day exploring all the crack and crevices, looking for fairy penguins.
If you have no luck finding penguins during the day, then wait around until the evening, when the penguin parade begins. The birds that have been out fishing at sea all day, become to filter onto land in the safety of the dark, and you can be first row to the show.