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Peggy is one of our favourite characters. How did you get the part?

Just the normal way. I auditioned for it. They sent me the script and I went in twice. Matt would know more than I would, but I think I might have been the first person to audition for Peggy.

I just read three scenes. It was Matt, Scott Hornbacher, the casting directors and Alan Taylor who was directing the episode. Then they offered me the part. It was an easy, simple thing. I felt very lucky because I really wanted to be involved in Mad Men.

Did you have an affinity with the Sixties in terms of style or music?

Definitely with the style and film of that time. I love those sort of Desk Set, The Apartment and The Best Of Everything – those kinds of films. I was in love with the old movie stars. But as far as the actual 60s – because I know those are just movies of the 60s – as far as the actual 60s, I didn't really know much about it. I was born in the early 80s, so it was kind of a whole foreign world for me that I have had a chance to explore.

Do you feel sorry for Peggy?

Everyone feels sorry for Peggy and I actually go "don't feel sorry for her. She is going to be fine". I think people are going to stop feeling sorry for her in season two, which would make me happy.

Did Matt tell you from the start about her big secret?

He did. Well, not when we did the pilot, but before we started shooting the first season, which was a year after the pilot. He pulled me into his office, and said, "I want to tell you what is going to happen to you this season".

He told me the whole story and then said at the end we are going to find out you are pregnant. My jaw dropped, and I was thinking, am I going to have to gain 40 pounds this summer – this is going to be interesting! Although Matt could have told me that I was going to have to play the whole season standing on my head and I would have done it.

How was it wearing the prosthetics?

It was tough but I had great people doing it. They were really caring and nice and they made it as easy as possible. It was definitely hard on your face. It starts to fall off after 13 or 14 hours, which is just gross.

It is better than gaining 40 pounds though?

It is. Or it is better than gaining 40 pounds and then having to lose it.

Now that you have done your first season as Peggy, do you go to the writers and say, "but Peggy wouldn't say that"?

No, but only because they would never write anything that she wouldn't say. It is funny because Matt and I agreed in the first season that, if he ever had a problem with what I was doing, then he would come to me and I would do the same with him.

The father of the child – it doesn't seem they are going to have a relationship?

Out of wedlock with a man that is married... It is a pretty bad situation, so I think she goes into a state of denial. I think everyone can identify with either seeing someone do that or doing that themselves. And that is exactly what she does.

With Mad Men becoming a big hit, how has it changed your life?

It is crazy. In some ways, my life hasn't changed. I still have my family and my friends and I go to work and work hard. But then there are some times when you walk by a shop and you are on the cover of a magazine, or someone calls you to tell you you have just won a Peabody Award. Things like that feel surreal. I don't think I am quite used to it yet. We all just go to work and make our show, working 15-hour days and eat too much craft service, so that still feels the same.

How old were you when you started acting?

Six.

So you've been doing this for a long time. What do you think you will be talking about and working on 20 years from now?

Oh my gosh. I'll probably be talking about that wonderful show Mad Men that I was on for a while. I don't know. Hopefully I'll have worked on some other great project. I hope to be doing this for quite some time. All I ask is to be a part of things that I am proud of, and this show is definitely one of them. So hopefully I'll be talking about something that I am proud to be apart of. That is all I can really ask for.