We created one for a public tv pilot a while back. First designed the set, then we shot the video, then tweaked the background for our camera perspective & lighting. At the time, the local cable company could only accept beta tapes, so we exported the final video to MiniDV. Took MiniDV to a video company to convert to Beta.
This was years ago, so likely formats have changed, and I am guessing the transportation process is easier to stay digital. Get to know the place you plan on broadcasting at, or find a video post company who can help.