I have been here since 2005 on F-1 I haven't earned any income in any of those years. I forgot to file 8843 form. Can I file previous years form now? 2005, 2004, 2006, 2007, 2008, & 2009? Would I be penalized if I do? Or Can I just file one for 2009?

I appreciate your help!

Yes, you can file Form 8843 for previous years. Read instructions to Form 8843:
If you do not file you can be considered resident for those years.