"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)
"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.