When and how did they film the Aftershow?

How far after each elimination do you think they filmed the Aftershow? The "set" makes it seem like they are on location, but clearly Boston Rob has some insight that wouldn't make sense for him to have if he hadn't been given footage to watch after the season. However flying every contestant back out for an interview seems expensive and logistical nightmare.

Do you think the whole thing is a set made to LOOK like they are on an island, or are they really out somewhere tropical?

I have so many questions, hahaha.