One of the Muppets that they use is a hot dog. (In fact, they sell it in the courtyard beforehand.) There was one improv sketch with four of these hot dog Muppets – one was a maid, another a doctor, one a cowboy, and the last just like this hot dog below. At one point in the sketch when things were getting loopy, this fourth hot dog started looking around at the other three, seeming to be a bit lost, and then suddenly jumped in, “Hey, I didn’t realize we were supposed to wear costumes.”
And hey, as long as we have Puppet Up! on the table, here's another video from the folks. This is a less-intimate environment than at their home studio, but takes place at the Melbourne International Comedy Festival. (As such, it's a well-produced video, so you get a good sense of the experience, seeing the performers in action, but also the results on the big monitor.) It's all enjoyable -- and that's Brian Henson, Jim Henson's son, in the first sketch, performing as the warthog -- but the second improv sketch that begins about at the 3:10 mark is particularly fun, especially for this very appreciative Aussie audience.