I have done a show a couple times that took place largely in a NYC radio station studio back in the '40s. Back then, that is how radio shows were done, with live SFX. So we built a 3' high door, and attached other things to it and had even more things on a table next to it. It was actually fun to do. As already mentioned, Prairie Home Companion still does it this way.
You have to be creative to come up with ways to make certain sounds. Some are easier than others. Here's a few examples:
Door - 3' high working door in a short door frame.
Light
switch - A wooden clothespin mounted on top of the door frame, let it
snap closed.
Footsteps - A pair of shoes that had rods fastened to stick straight up out of shoe, sound made by "walking" shoes on a board with the back end raised a couple inches (so the sound carried from underneath it).
Tea kettle whistle - Took whistle off of old tea kettle and blew through it.
We also had a pipe collar mounted on the door frame and a small piece of pipe to make the sound of a pipe squeaking as it was turned. Several wrenches for the sound of tools being pulled from a tool box. I don't remember all of it.
One of the times it was done, we needed sound reinforcement, which meant some very creative and careful micing. We used some older
Crown PZM-6R mics and removed the
element from the plate and carefully taped the mic in place. We put one right on top of the door frame and one on the table top underneath the shoe board. It worked well and gave a very natural sound, better than with the
element on the metal plate.
If it fits into the show, it can work really well. It is fun to do, but can be very nerve wracking at the same time.