I don't remember how I got this impression, but I thought the audio commentaries were recorded either in the actual booth(s) that they do the voiceover recordings OR another room in the same building.
They are. Cohen mentions on the commentary for "Space Pilot 3000" that Nimoy recorded in the very same studio as they are recording in. He also mentions on Into the Wild Green Yonder
's commentary that Snoop Dogg was in the same room as well.
Sounds appropriate though, since they are making new episodes while recording commentaries for the old ones. I mean, the crew are there.