How to Kill Penalties in Hockey
The first step in killing a penalty is to get your players on the ice set up in a box formation:
The goal is to cut off the passing lanes without over-committing to any one player on the other team.
You don't have enough bodies to cover one-on-one, so when pressuring the player with the puck, you also have to take away one of his passing options - without screening the goalie.
Stay out of the corners and away from the high point - protect the slot.
Here's a good example of the Canucks setting up in the box formation against L.A.: