"I was a big sweaty mess because it's nerve racking enough doing a guest spot on something and then to have it be [a sex scene], but David made me feel very comfortable," Thorne, 40, who guest-starred on his Showtime series, told PEOPLE at the season-six premiere of her FX show Rescue Me.
"By the time we situated ourselves under the covers, I took my robe off … and by the time we shot it, David was making me laugh so hard that it didn't cross my mind that we were in this really strange situation," she says.
"As far as sex scenes go, I had a blast because I was laughing so much. I think he figured out that I needed to laugh, so he made me laugh and I was very comfortable."
Both her Californication character and the storyline are a departure from Sheila Keefe, the 9/11 widow Thorne plays on Rescue Me. In her guest-star episode, Duchovny, 49, "is sleeping with my daughter and with me. The twist question is, whether he knows he's sleeping with both of us," she says.
When it comes to appearing on other shows, "it happened on the heels of us finishing up Rescue Me," she says. "I was in the middle of having such a pity party and depression and just crying in my pillow, and then Californication came along. It was good to spring me out of bed and remind me there are other things in life than Rescue Me."
And although her onscreen romp with Duchovny sprung her out of bed, Rescue Me costar Denis Leary need not worry. "They are both incredible scene partner kissers," notes a satisfied-looking Thorne.