Not many people know (or remember) this, but back in my high school days, I was a technical theater major at LaGuardia High School. This meant I helped out with the school's off-Broadway quality productions wherever needed -- set changing, set dressing, sound and light setup, etc. A part of me really misses those days and honestly, if I could choose another career other than the one I'm in now, I'd probably be a stage tech of some sort.
Anyway, I don't think SNL does this normally, but for whatever reason their YouTube channel uploaded this behind the scenes look at how the cold open from last week was switched out. It brought me back to those theater days. :)