Twin Boys on the Way! Jeff Dunham and Wife Audrey Celebrate Sons with Baby Shower

"It warms our hearts that these little boys are already so loved by so many," the couple tell PEOPLE

Bears, bears, everywhere!

With a new comedy special, an upcoming tour and twin boys on the way, Jeff Dunham and his wife Audrey have a lot to celebrate this fall — and kicked it off Saturday with a teddy bear picnic.

The couple’s upcoming arrivals were fêted at a shower hosted by Audrey’s mother at their Los Angeles home, ahead of Thursday’s Jeff Dunham: Unhinged in Hollywood premiere.

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“Seeing all the decorations that my mom made — there was so much creativity!” Audrey, a certified nutrition specialist and fitness trainer, tells PEOPLE exclusively.

“Most of all, I was so honored that so many friends and family got on planes and drove long distances to be part of the day. It was the best baby shower a girl could ever ask for because of all the wonderful people who made such an effort to be there. It warms my heart that these little boys are already so loved by so many.”

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The ladies enjoyed “baby bites” of lemongrass chicken satay, chili-crab-cucumber canapés and herb Mediterranean shrimp at the house, while the men hopped in a Hummer limo for a ride to lunch — but not before Jeff opened one special gift.

“My friend said, ‘Here Jeff, this one’s more for you,’ ” the comedian and ventriloquist, 53, says about unwrapping a pair of Cowboys bodysuits. “Growing up in Dallas, my father didn’t pay attention to any sports except football, so I became an avid Cowboy fan. That was perfect!”

Guests, including Dunham’s daughters from his previous marriage, enjoyed slices of bear-topped cake monogrammed with “J”s — but that’s the only hint the Dunhams will give about what they’re calling their sons, expected to arrive in late October. “Their names are chosen, but we’re keeping them under wraps for now,” Jeff explains.

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Ready to get back to diaper duty, Jeff tells PEOPLE he’s especially looking forward to seeing Audrey, 35, in her new role as mom.

“When my girls were growing up I was on the road a lot, but I made it a point to never miss any big dates — I was always home for birthdays, holidays. This time around we have the tour bus, so we’re having the cribs built in and everyone’s coming along,” he says.

“It’s a different perspective, being later in life and able to go through this again. Audrey has already found such passion in life with her work, yet this is a completely different path that I know that she’s going to embrace like nothing else. I really wanted for her to be able to experience parenthood.”

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After marrying in 2012, “we went through a couple speedbumps with miscarriages,” Jeff reveals. “They’re difficult — we have such a better appreciation about it and sensitivity to it now.”

This past March, the couple discovered they were expecting not one, but two babies.

“We’ll never forget the doctor — he got this look on his face, cocked his head sideways and with an impish grin on his face goes, ‘Two.’ We were like, ‘Whatttt?!’ Completely unexpected,” the comedian recalls.

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After announcing the pregnancy in May, the Dunhams are now in the home stretch — but it sounds as though the boys are making themselves quite comfortable in there.

“The kids think that her ribs are a jungle gym, but she’s a trouper,” Jeff says. Adds Audrey, “Now we just need to do all that we can to keep them from being spoiled. We’ve definitely got our work cut out for us!”

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Filmed at Los Angeles’ Dolby Theatre, Jeff Dunham: Unhinged in Hollywood airs Thursday at 8 p.m. on NBC. Tickets for Dunham’s upcoming national tour go on sale Friday.

— Sarah Michaud