"I'm excited to meet Michael Phelps!" she told PEOPLE at a bash celebrating her film Ghost Town at the Toronto Film Festival. "He's gonna be naked in all the sketches I write, for sure."
But the 23-year-old Phelps, who won an astonishing eight gold medals at the 2008 Summer Olympics, will still have plenty of costume changes.
"There are some people that you can just picture with a wig on and it's funny," she said at the event sponsored by Hollywood Life magazine. "He's one of those people."
And while Phelps may not have any acting experience, Wiig is sure he'll do, well, swimmingly.
Sports Stars Rock"I love having athletes there because they're trying something new," she explained. "It's fun to see someone that you have seen do so well in ... sport come on and do something they've never done before. It's very rewarding."
Wiig is also itching to get back to her Saturday Night Live family, including a pregnant Amy Poehler and her husband Will Arnett.
"She's doing really great," said the comedienne. "She's healthy and happy."
Wiig joked that she's already given Poehler a mini-Hummer, but said that the baby's biggest gift will be having such a cool mom and dad.
"They're very lighthearted, funny people, so that would be a very good set of parents," she said. "They're the best of friends – very inspiring."
See other Olympians on the cover of PEOPLE