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This is how Sarah Sherman begins a story about her proudest recent moment on Saturday Night Live. Usually, it takes her several agonizing rounds of rewrites to nail a Weekend Update character. But for one episode this season, at midnight on a Friday—that is, a single day before air—Sherman was asked to come up with something without any time for fuss. She sounds happy about the finished product, in which she riffed on the Victoria’s Secret fashion show, but happier that she produced it at all: “We just had to...