"We've already stolen so much stuff," Billy Gardell joked.
"I have a cargo van out back and you can't stop me," Melissa McCarthy quipped.
Meanwhile, Swoosie Kurtz admitted she'd rather leave the show empty-handed.
"I looked around the living room the other day and I thought, 'This is just not my taste,'" Kurtz said with a laugh.
See photos of Melissa McCarthy through the years:
Melissa McCarthy through the years
EXCLUSIVE: Melissa McCarthy tears up over 'Mike and Molly' farewell: 'We're just trying to get through it'
Melissa McCarthy, star of 'Gilmore Girls,' is currently appearing at the Groundling Theater on the weekends. For My Favorite Weekend column. (Photo by Myung J. Chun/Los Angeles Times via Getty Images)
HOLLYWOOD - JANUARY 11: Actress Melissa McCarthy attends the WB Network's 2003 Winter Party at the Renaissance Hollywood Hotel on January 11, 2003 in Hollywood, California. (Photo by Frederick M. Brown/Getty Images)
Melissa McCarthy during Behind The Scenes Of 'The Gilmore Girls' at The Academy Of Arts And Sciences Leonard H. Goldenson Theater in North Hollywood, California, United States. (Photo by Mark Sullivan/WireImage)
UNSPECIFIED - DECEMBER 29: Medium shot of Melissa McCarthy as Sookie and Lauren Graham as Lorelai. (Photo by Patrick Ecclesine/Warner Bros./Getty Images)
PARK CITY, UT - JANUARY 21: Actress Melissa McCarthy and husband Ben Falcone arrive for the premiere of 'The Nines' at the Eccles Theatre during the 2007 Sundance Film Festival on January 21, 2007 in Park City, Utah. (Photo by Evan Agostini/Getty Images)
Melissa McCarthy at the Ritz Carlton in Pasadena, California (Photo by John Sciulli/WireImage)
LOS ANGELES, CA - MARCH 18: Actress Melissa McCarthy arrives to the premiere of 'Just Add Water' at the Directors Guild of America on March 18, 2008 in Hollywood, California. (Photo by John Shearer/WireImage)
LOS ANGELES - APRIL 19: MIKE & MOLLY is a comedy from Chuck Lorre ('Two and a Half Men,' 'The Big Bang Theory') about a working class Chicago couple who find love at an Overeaters Anonymous meeting. Billy Gardell plays Mike Biggs, a cop,Â and Melissa McCarthy portrays fourth-grade teacher Molly Flynn. MIKE & MOLLY will premiere this Fall, Mondays (9:30-10:00 PM ET/PT) on the CBS Television Network. (Photo by Richard Cartwright/CBS via Getty Images)
Actors Melissa McCarthy and Billy Gardell attend the 2010 CBS Upfront at The Tent at Lincoln Center on May 19, 2010 in New York City. (Photo by Jim Spellman/WireImage)
Melissa McCarthy, left, and Billy Gardell, co-stars of the television show "Mike & Molly," pose together for a portrait in Beverly Hills, Calif., Wednesday, July 28, 2010. (AP Photo/Chris Pizzello)
Melissa McCarthy and her husband Ben Falcone, cast members in "Bridesmaids," pose together at the premiere of the film, Thursday, April 28, 2011, in Los Angeles. (AP Photo/Chris Pizzello)
Melissa McCarthy arrives for a taping of the "Late Show with David Letterman" in New York, Tuesday, May 17, 2011. (AP Photo/Charles Sykes)
Actress Melissa McCarthy hosts the 2011 Crystal and Lucy Awards in Beverly Hills, Calif., Thursday, June 16, 2011. The Crystal and Lucy awards is a gala fundraising dinner in support of Women in Film, Los Angeles. (AP Photo/Matt Sayles)
"Mike & Molly" cast member Melissa McCarthy holds the Emmy for best lead actress in a comedy series backstage at the 63rd Primetime Emmy Awards on Sunday, Sept. 18, 2011 in Los Angeles. (AP Photo/Jae Hong)
Melissa McCarthy, right, and Ben Falcone arrive at the 69th Annual Golden Globe Awards Sunday, Jan. 15, 2012, in Los Angeles(AP Photo/Chris Pizzello)
Melissa McCarthy arrives before the 84th Academy Awards on Sunday, Feb. 26, 2012, in the Hollywood section of Los Angeles. (AP Photo/Chris Carlson)
BEVERLY HILLS, CA - MARCH 1: (L-R) Billy Gardell and Melissa McCarthy arrives at the Academy of Television Arts & Sciences 21st Annual Hall of Fame Ceremony at the Beverly Hills Hotel on March 1, 2012 in Beverly Hills, California. (Photo by Danny Moloshok/Invision for the Academy of Television Arts & Sciences/AP Images)
NORTH HOLLYWOOD, CA - March 8: Actress Melissa McCarthy participates in the Academy of Television Arts & Sciences Presents an Evening with "Mike & Molly" panel at the Academy of Television Arts & Sciences on March 8, 2012 in North Hollywood, California. (Photo by Frank Micelotta/Invision for the Academy of Television Arts & Sciences/AP Images)
Jason Bateman and Melissa McCarthy attend the world premiere of "Identity Thief" at the Mann Village Westwood, Monday, Feb. 4, 2013, in Los Angeles. (Photo by Todd Williamson/Invision/AP Images)
IMAGE DISTRIBUTED FOR MTV- Cast member of "The Heat" actress Melissa McCarthy is seen at "The MTV Movie Awards Sneak Peek Week" on Thursday, April 11, 2013, in Universal City, Calif. (Photo by Jordan Strauss/Invision for MTV/AP Images)
Las Vegas, NV: Melissa McCarthy arrives at the Cinemacon Big Screen Awards red carpet and receives Female Star of the Year Award at Caesars Palace, April 18, 2013, Las Vegas, NV (Photo by Al Powers/Powers Imagery/Invision/AP)
Melissa McCarthy arrives at the ELLE 20th annual "Women in Hollywood" event at the Four Seasons Hotel on Monday, Oct. 21, 2013 in Los Angeles. (Photo by Jordan Strauss/Invision/AP)
Melissa McCarthy poses in the press room at the 71st annual Golden Globe Awards at the Beverly Hilton Hotel on Sunday, Jan. 12, 2014, in Beverly Hills, Calif. (Photo by Jordan Strauss/Invision/AP)
Actress Melissa McCarthy attends a screening of "Tammy" on Thursday, June 26, 2014, in New York. (Photo by Andy Kropa/Invision/AP)
Melissa McCarthy, co-writer and star of the new film "Tammy," puts her hands in cement during a ceremony at the TCL Chinese Theatre on Wednesday, July 2, 2014 in Los Angeles. (Photo by Chris Pizzello/Invision/AP)
IMAGE DISTRIBUTED FOR THE TELEVISION ACADEMY - EXCLUSIVE - Ben Falcone, left, and Melissa Mccarthy pose at the 66th Primetime Emmy Awards at the Nokia Theatre L.A. Live on Monday, Aug. 25, 2014, in Los Angeles. (Photo by John Shearer/Invision for the Television Academy/AP Images)
Melissa McCarthy, left, and Ben Falcone arrive at the 72nd annual Golden Globe Awards at the Beverly Hilton Hotel on Sunday, Jan. 11, 2015, in Beverly Hills, Calif. (Photo by John Shearer/Invision/AP)
Melissa McCarthy attends a ceremony honoring her with a Star On The Hollywood Walk Of Fame on Tuesday, May 19, 2015, in Los Angeles. (Photo by Richard Shotwell/Invision/AP)
NEW YORK, NY - JUNE 1: Melissa McCarthy visits ABC's Good Morning America promoting her new film, Spy on June 1, 2015 in New York City. Credit: RW/MediaPunch/IPX
Melissa McCarthy attends the premiere of "Spy" at AMC Loews Lincoln Square on Monday, June 1, 2015, in New York. (Photo by Andy Kropa/Invision/AP)
"I liked that they had real jobs," McCarthy said of the pilot. "He wasn't a cop by day and a superhero by night -- which I love those too and I'm available -- but I liked that I was like, 'I know these people.' I've got cops in my family. I just bought it all. It just all seemed easy."
The Mike and Molly series finale, featuring a baby for the titular characters, airs Monday at 8 p.m. ET/PT on CBS.