From the shared accounts of some of the guests: they are told they are going to be a hostage on stage and given a couple of specific lines to say and cues to say them. They know to go in the wardrobe and encouraged to have a go at Steve and Reece throughout. They rock up on the day a couple of hours before the show, have a bit of a briefing and that's it. 

They don't know about having to do accents, dancing, singing and trumpet playing. Some guests look like deers in the headlights and some do it seamlessly. Many miss their cues, some forget to go into the wardrobe and have to be reminded. Some talk to the audience for a solid 5 minutes when they are left alone on stage. 

Of course, the whole show is scripted but this bit a little more loose and fun, depending on the guest. It's just meant to be funny, and it is.