They have done these readings before at comedy festivals, most recently in July of 2002 in Montreal. No, they aren't costumed. Every single review I have ever read about them has been effusively positive. It sounds like a very cool way to "see" the show, especially when Dan or Hank is switching voices during a conversation (i.e. Burns & Smithers).
I wish I was Sipowitz... and also that I lived in Toronto.
HM