How do they do these skits?

On shows like SNL I know they perform skits in front of a live audience. But what happens when part of the skit is like.. on the street.. and they filmed a part of it on the street.. How do they like.. transition that? I don't have a great example but I've seen it happen before. I was wondering whether they play it on a TV screen in front of the audience or what? Like also for the SNL Digital Shorts.. how does the whole audience see it? Big screen?