All the scenes set in the Guggenheim were shot in the museum's rotunda, including the shots of Barney climbing the ramps. With a four-day window to set-up, film, and break down the set, Ryle appropriately describes it as being the Mount Everest of shoots. "It was a circus," says Ryle, "there was the equipment for the bands, dancing girls, the cameras, the lighting equipment…. And the museum was still open, so there were people watching the shoot."

Barney got the idea for the demolition derby from the fact that in the 1930's, there was a car showroom on the ground floor of the Chrysler Building. The lobby set was among the last to be built. The entire scene was built and filmed in a warehouse in Sunset Park, Brooklyn. Before the set was built, the walls, floors, and ceilings of the actual lobby were photographed and after some Photoshop work, reproduced on vinyl and paper by a billboard company. The lobby that appears in the film is mostly made of paper glued on 1/4" plywood board. The set had to be impact-proof, so all of the walls were constructed in front of six-ton concrete blocks. Red clay dust, matching the marble in the lobby, was added to the wall cavities, so any impact would look like marble being pulverized. The dimensions of the set are slightly larger than those of the actual lobby. Yet, according to Ryle, "Once six cars are placed in what seems like a relatively large space, it all of a sudden becomes a lot smaller." The set took around six weeks to build.