The actress also dishes on the wild cast party and the stars' special on-set hangout
“It was awful. It was really sad,” Jones tells PEOPLE about her last day filming the show. “They scheduled it so that on the last day, everyone had their last scene of the episode, and it was like every moment of the day was somebody’s last something, and it was just so sad.”
“I think I had one of the last scenes of the day and [was] just asking for more takes because I knew it was like the last time that I would ever speak for [Betty],” Jones says.
“It was like someone was dying,” she continues. “I was like, ‘Let me just do one more,’ because I knew I would never be her again.”
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The actress, 37, says the cast stayed after to celebrate and admits things got a little crazy.
“It was the core group and we were all mutually sad and nostalgic, but happy and proud, and we had a big party and we toilet papered [show creator] Matt Weiner‘s Tesla. We destroyed it.”
Jones says they hung out in their “basecamp,” which started out as a concrete slab but evolved over the years into a beautiful wooden deck with couches and a fire pit.
“We decorated with Christmas trees and lights, and there was a roof and we put lights everywhere – it was just a sparkly great haven outside the hair and makeup trailer,” she says. “We just all hung out there and we always had our Christmas parties there and our wrap parties and just hung out there until like basically we were falling asleep at like four in the morning. No one wanted to go home.”
Jones says the cast is tight-knit, but admits she’s closest to Jon Hamm, “because we worked together the most,” she says. But she names John Slattery, Christina Hendricks (Jones calls Hendricks “the biggest hugger, the most affectionate, lovable one”), Elisabeth Moss and Jessica Paré as good friends as well.
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And when Jones went to see the show’s set and costumes at The American Museum of the Moving Image, she called the experience “bizarre.”
“I was like, ‘This isn’t supposed to happen for 10 to 25 years, I’m not supposed to go to a museum and see my lighter and my outfit,’ and I had just been using them … I got emotional.”
• Reporting by EMILY STROHM