McGrath, who plays Lady Thelma Furness in the two-tiered drama, told Digital Spy that the pop icon would often bring her two oldest children Lourdes and Rocco to the set.
"She's a mum, her kids visited the set and she's just like everybody else," McGrath said. "She was so passionate about what she was doing and she really wanted it to be good.
"She knew every detail about Wallis Simpson's life. You could ask her anything and she had an answer. You don't think about her being involved in the nitty gritty of everything, [but] she would choose my jewellery. I'd come on set fully dressed and she'd do the final touches to my jewellery and my hair.
"You don't think about her being that involved, but at the end of the day when somebody's that successful it's because they're that involved."
W.E. - starring Andrea Riseborough, Abbie Cornish, James D'Arcy and Oscar Isaac - will open on January 20, 2012 in the UK and February 3, 2012 in the US.
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Watch the W.E. trailer below: