According to Bizer, there are 5 islands there (in table form):
size, name, notes
5, Dolly, Just off Bear I, 420m NE FL#3; 1080m WNW FL#29
4, South Dolly, Just E Dolly I. (see notes)
4, Little Dolly, just S South Dolly. South Dolly & Little Dolly have a small channel cutting it into two islands.
2, Penny, Large rock just NE South Dolly; 500m NE FL#03 (Formerly thought to be Piano Island)
1, Piano, Large rock 25m E Little Dolly; 25m SE South Dolly
U.S. Geological Survey maps of Lake Winnipesaukee show an island named "Penny" about 75m SE of Dolly Island about 400m NE of light #3. This island is really two islands which are cut in half by a narrow channel not shown on Bizer's chart. From 1996 to 2013, these were called Penny#1 and Penny#2. Bizer has been told these two islands are named South Dolly and Little Dolly. The island thought to be Piano Island is now Penny Island. A previously-unknown island, 25m east of Little Dolly Island is the real Piano Island.
http://bizer.com/winislan.htm