Hader frequently appears on the fake news segment to impersonate political figures like James Carville or debut original characters like zany club-goer Stefon.
Speaking about SNL on the B.S. Podcast, the comic said he loves interacting on-air with 'Weekend Update' anchor Seth Meyers.
"The nice thing about 'Update' is, I've learned over the years that you can be loose," Hader explained.
He added: "You can be little bit more nuanced with the performance. I figured that out when I did James Carville - I did all this weird stuff during it and was like, 'Oh wow, I can get away with that!'"
The star went on to reveal that his favourite SNL host is Mad Men's Jon Hamm.
Hader praised Hamm for working closely with writers when he appears on SNL, adding that the Mad Men star's October 2010 hosting stint was "one of the best times [he's] ever had on the show".
Sofia Vergara and musical guest One Direction appear on this weekend's Saturday Night Live. The late-night series airs at 11.30/10.30c on NBC.
> Saturday Night Live recruiting female replacements for Kristen Wiig?
> Kristen Wiig on SNL stress: 'Sometimes I have to dance hard'
Watch Bill Hader's Stefon character on 'Weekend Update' below: