Ralph Bellamy got a good taste of Leo McCarey's working style very early on. He simply was told to show up on the set the following Monday for filming, with no script, no dialogue, or even a hint about his upcoming scene. So he went to see the director but received no help at all from the perpetually upbeat McCarey. "He just joshed and said not to worry, we'd have lots of fun but there wasn't any script", Bellamy wrote years later. The actor showed up on set for the first day of production to find Irene Dunne at a piano. (McCarey almost always kept a piano on his sets, and he often would sit playing while he thought up a new scene or piece of business he wanted his actors to try.) Dunne was pecking away at the melody to "Home on the Range", and McCarey asked Bellamy if he could sing. "Can't get from one note to the other", the actor replied. "Great!", McCarey said and ordered the cameras to roll while Dunne played and Bellamy sang for all he was worth. When they finished the song, they heard no "Cut". Looking over, they found McCarey by the camera, doubled over with laughter. Finally he said, "Print it!" The scene ended up in the finished picture. That was the way McCarey worked, and Bellamy had to get used to it quickly.
Irene Dunne later recalled the scene where she pretends to be Cary Grant's ill-bred nightclub performer sister, which was written over a weekend and handed to her on the morning she was scheduled to film it. She was supposed to do a burlesque bump in the middle of her musical number, a move she was never able to do. Leo McCarey told her just to say, "Never could do that" when she got to that moment. She did, it stayed in the film, and Dunne found it "a choice comic bit".
Cary Grant was so convinced this film was not working, he begged to be released during production. The film turned out to be a big hit.
The dog playing Mr. Smith, originally named Skippy, was most popular for its role in The Thin Man (1934) and its sequels as Asta. On those movie sets, he was notorious for trying to bite the actors. Even in this film, there's a scene where Cary Grant is trying to play with the dog, and the dog very obviously snaps and growls at him.
Cary Grant quickly became an accomplished improvisational actor during the shoot. He ad-libbed with such speed and composure that his co-stars often "broke character".