Talking to Access Hollywood, the Mad Men actor praised Wiig's sense of humour and credited her with helping to make an otherwise awkward scene enjoyable.
"It's not a lot of fun rolling around in front of 30 or 40 crew members in a flesh-coloured thong but we did have a lot of fun," he explained. "We had a lot of jokes and a lot of laughs, and I'm sure a lot of that will end up on the DVD somewhere.
"I'm such a big fan of Kristen and she's so wonderful to film. From hosting [Saturday Night Live] and from being around her and the SNL crowd - it was so much fun. She's just a great person, so it was really nice to do that kind of thing with [her]."
Bridesmaids opens on May 13 in the US and on June 24 in the UK.
Emily Browning previously described her sex scene with Hamm in Sucker Punch as 'awkward'.
Watch the Bridesmaids trailer below: