I'm sure Conan uses a green screen since the beginning of the show. It's easy... and cheap! They all use green - or blue - screen: Conan, Leno, Jon Stewart...
Have you ever seen "This Week In God" of "The Daily Show"? It's the same thing... they use a virtual background. When they show Jon Stewart in the end you can see the guy who was doing "This Week In God" (Stephen Colbert or Ed Helms) and the green screen behind him.
Remember when Conan was throwing bricks to the guy in the level below the studio? Same thing!