Quoth the Johns:
This track was recorded at the Edison Historic Site in West Orange, New Jersey on an Edison wax cylinder recorder. We performed this and other songs in front of a small audience, singing and playing acoustic instruments as loud as we could into a pair of enormous metal cones, the larger of which was perhaps twelve feet long, which fed the sound into a hundred year old non-electrical recording device created by Thomas Edison in the 1890s. The wax cylinder recorder carves a groove into a rotating tube of softened wax with a needle that is vibrating from the sound pressure collected at the small end of the cone. That is the best we can explain it. It looked very cool.
John Flansburgh and John Linnell
[source: "A Guided Tour of Factory Showroom," TMBG Info Club Newsletter, Holiday 1996 edition]