I write and write and write, and then I edit it down to the parts that I think are amusing, or that help the storyline, or I'll write a notebook full of ideas of anecdotes or story points, and then I'll try and arrange them in a way that they would tell a semi-cohesive story.
At this point I've got a bit of a track record. So people realize that when 'Weird Al' wants to go parody, it's not meant to make them look bad... it's meant to be a tribute.