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Andy Cohen loves getting festive with Amy Sedaris.
The two friends joined forces in New York City on Thursday, Dec. 19 to cohost SiriusXM's 10th Annual Radio Andy Holiday Hangout, a two-hour live broadcast where they chat and answer listeners' questions — a decade-long tradition born out of Cohen's desire to get Sedaris on the airwaves.
"When I launched Radio Andy, Amy was one of the first people I [tried to get] to do her own radio show, and she was typical Amy, like, 'Oh, I couldn't, I wouldn't know what to say, whatever,'" the Real Housewives producer, 56, tells PEOPLE of Sedaris, 63, whom he adds is "so funny off the cuff."
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While a full radio show "was too much for her to commit to," Cohen recalls asking if she'd want to do a one-off broadcast for the holidays, "and she loved that idea," he says.
Since then, the annual Holiday Hangout has been both a hit with fans and fun for both hosts, who've adapted over the years and braved snowstorms and more to ensure the show goes on.
"We've done it in a lot of permutations, and no one makes me laugh harder than Amy," says Cohen. "You just never know where the conversation's gonna go. It's two hours. It's just a lot of fun."
Taped in front of a small audience at the SiriusXM Fishbowl studio in Manhattan, fans travel in from all over the country to attend the live broadcast in-person, while others call in to seek advice about anything from holiday entertaining to personal relationships.
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"I love doing this show with Andy every year. It's really funny. It gets you in the Christmas spirit. And I love answering people's questions," says Sedaris, who particularly enjoys "the relationship ones — you know, people who are having issues with their parents."
Cohen is quite busy these days with fatherhood, Housewives duties, his talk show Watch What Happens Live! and cohosting New Year's Eve on CNN with Anderson Cooper, but he says radio is particularly "fun" because the format is "very free."
"Anything goes," he explains. "The virtual community that we've built on Radio Andy over these last 10 years is just outstanding. I'm stunned, always, when I go around and people are like, 'I listen every day to you and John [Hill],' and people really connect, and it's a place where I can really let go."