They don't. You use the worst penalty.
Penalties work very much like bonuses. You can have circumstance penalties, status penalties, and sometimes even item penalties. Like bonuses of the same type, you take only the worst all of various penalties of a given type.
And a bonus and a penalty of the same type do "stack" with each other.
However, you can apply both a bonus and a penalty of the same type on a single roll. For example, if you had a +1 status bonus from a heroism spell but a –2 status penalty from the sickened condition, you’d apply them both to your roll—so heroism still helps even though you’re feeling unwell.