How to punctuate interpolated interjections which are sentences
As I understand it, you want to put an entire sentence--or more than one--within another. I'd put it in parentheses, following the closing parentheses with whatever punctuation you would have used before the first paren. I would hope you would not be using other parentheses in the sentence.
The other option is square brackets. I would consider brackets only for unrelated instructions [see sidebar] to the reader.
I would not, as a matter of style (it would confuse your reader), start the internal sentence with a capital; and probably would not put a period (a period would cause your reader to pause, and the parentheses are enough) at the end.
Thus: Not only are penguins flightless birds (they are), they are also aquatic.
Consider: Not only are penguins flightless birds (I have seen them struggling on the ice), they are also aquatic (this too I have seen, as they plunge into and scramble out of the frigid water).
Reference:
Chicago Manual of Style 16th Edition (on-line but behind paywall)
6.92 Use of parentheses
Parentheses—stronger than a comma and similar to the dash—are used to set off > material from the surrounding text. Like dashes but unlike commas, parentheses can set off text that has no grammatical relationship to the rest of the sentence.The disagreement between Johns and Evans (its origins have been discussed elsewhere) ultimately destroyed the organization.
From my hard copy of the Chicago Manual of Style, 15th edition, 6.103:
A question mark, an exclamation point, and closing quotation marks precede a closing parenthesis if they belong to the parenthetical matter; they follow it if they belong to the surrounding sentence. A parenthetical enclosure of more than one sentence should not be included within another sentence.
Joan Didion's The White Album (essays) uses parentheses in this way often; she is considered an excellent stylist.
These references confirm the examples and statements in this answer--just thought you'd like sources.