My employer does not withhold taxes from my pay. I have always just paid in April. Is this a new penalty?

Do you really mean no withholding?  No state, federal, social security or medicare taxes?  That's a complicated situation and you need to tell us more about your job.

Or do you mean, you get a pay check and there is medicare and social security withholding but no federal tax withholding?  You may just need to submit a new W-4 to your employer.

My employer DOES withhold social security and medicare taxes.  Just not Federal.  I guess I have earned more than last year so I will change my W-4.   Thanks.

Use the worksheet and claim the number of allowances it suggests.  The method is self-adjusting; more is withheld in weeks you earn more and less is withheld when you earn less.  

No.

The IRS has always had penalty for failing to pay taxes throughout the year. 

You may not have noticed before now or your income may have increased to the point the penalty applies