"And," he said, "it's always the same question: `What's Gary Lineker really like?' "
This, in a sense, is the pleasure at the heart of the programme: watching your sporting heroes in another context, thinking that you are getting closer to their real selves, in particular seeing them as the butt of robust humour.
"They don't seem used to it," McGrath said. "If you tell David Gower often enough that he was a crap cricketer, he usually ends up saying, `yeah, I suppose you're right'."
McGrath himself, a season ticket holder at Arsenal, has been as goggle- eyed with the excitement at meeting his heroes as any 10-year-old waiting with an autograph book outside Highbury.
"The other night," he said, "we were in the hospitality room and Gary - I'm allowed to call him Gary now - said: `listen, Rory, Ian Wright's about to arrive so, calm down, take a deep breath and compose yourself.' Then Ian Wright walked in and shook my hand. Then Sharron Davies strolled in. It was... a feast."
The laddish enthusiasm which McGrath, Hancock and Lee Hurst (so bald, according to Hancock, that he reminds people of their mum: their Mum roll- on deodorant) go about their business is transparent. An enthusiasm which extends to major sessions in the hospitality lounge after recording.
"The fun thing for me and Nick is sitting around talking football with people who were there. What you get through the papers is very sanitised, when you get to hear the gossip, the internecine feuds from the participants themselves, you think: `How can 11 players ever play together?'
A question which would have occurred to an Arsenal season ticket holder, you might have thought, without the benefit of inside knowledge.
Indeed McGrath has found that, such is the infatuation we all have with our sporting heroes, the tit-bits of gossip he has picked up while he has been involved with the show have far greater currency than stories about his old comedy chums. Who, for instance, wants to know what Jimmy Mulville gets up to when they can learn instead that Lucinda Green, making a guest appearance in the programme's brilliant "Feel The Sportsman" slot, specifically asked that McGrath didn't feel her.
"She didn't mind Gary - Gary, notice - touching her," the snubbed McGrath said. "But she wanted a girl to be the other person to feel her. And the girl was Jo Brand, which was a bit ironic in itself."
Or who wants to hear about Griff Rhys Jones's personal habits when they can be told that Will Carling has, on several occasions he has been invited on to the programme, pulled out at the last moment. "But then he's been doing a lot of that recently."
And who wants to know about what Dawn and Jennifer said the other night when they can instead be told that Gary Lineker, the saintly one himself, cheats as a matter of course.
"Gower isn't that fussed, but Lineker is desperate to win, so he's quite happy to cheat. It started when I took a mate round the studio before a recording and saw Nick's script on the auto-cue giving the answer to a question. I got back to the dressing-room and told Gary, who just repeated the answer on the show straight faced. Then I got hold of the cards with the sportsmen's names on before one edition. I wrote a list and put it on the desk between us so Gary was able to just read the names off. I suppose that counts as cheating."
Then there was the blindfold incident. "It back-fired badly. I said to Gary: let's punch holes in the blindfolds for Feel the Sportsman. But they wouldn't let us have the blindfolds beforehand. So we took a needle on set, you could see us desperately working on the blindfolds under the desk. But it didn't work because they are made of sponge."
In any case, cheating would not have won Lineker that particular competition. Not when he and McGrath were up against John Motson on the other side.
"Mottie," McGrath said. "He's easily the most obsessed guest we've had on. At one point there was a clip of a football game and in the background you could just see the linesman. I said to Mottie did he know that this character was the only left-handed linesman on the League list, I noticed him you see because I'm left-handed. Quick as a flash he came back and said: `I think you'll find Rory that actually there are four left-handed linesmen on the league list'."
After that, it really was all over.