I believe pennies are made of zinc and copper, no lead. Though I could be wrong. Still, I'd keep an eye on your dogs stools checking to see if the penny passes. If not then I'd call the vet to see if he can get a chest Xray to make sure it's not still there.
I know of a pup who swallowed a nickel and the only reason the owner found out was due to the puppy being quite sick (they never saw him eat it). They finally removed the nickel and the stomach acid had chewed a hole through the center of the nickel.