An uptight Mitt Romney, a caustic Simon Cowell, even smooth-talking Satan himself. Jason Sudeikis is the chameleon of late-night comedy. Last night, he confirmed on the Late Show With David Letterman that after 10 years on Saturday Night Live, he will not be returning for another season. "I'm definitely done, I'm going to leave, I'm not coming back in the fall," he said. But that doesn't mean he's gone for good. This month, we sat down with the SNL standout for our “Man of Style” feature in the August issue to catch up on his real-life repertoire: leading man (in the big-screen comedy We're The Millers he plays the most amiable drug dealer you'll ever meet) and husband (the lucky guy is engaged to a gorgeous woman who, ahem, just happens to be on the cover of this month's InStyle). Scroll down to read the exclusive interview, and get even more Jason by flipping to page 97 of the Olivia Wilde-covered issue, or download it on your tablet.

Drug dealer, huh? What exactly attracted you to this character? I liked his trajectory. This guy goes from being self-centered to some-one who realizes that he needs other people in his life.

His attitude isn't the only thing that changes. You rock a couple of different hair looks in the movie. How do you keep your follicles groomed? I use a styling cream by American Crew. It has the consistency of toothpaste, and it ain't hard to come by—you can get it at any drugstore. Oh, and I tend to rub my head a lot when I'm concentrating, which I've read increases the blood flow. Although I was watching old childhood videos recently, and I was wearing a hat in all of them, so I'm kind of surprised that I even have hair.

You were into hats? I actually wore a fedora to my senior prom. I had discovered Frank Sinatra and the Rat Pack—it was an homage to that. Back then no one sold fedoras, so I had to rent it at a costume shop. It was part of a gangster costume. Now you can find them all over the place thanks to Justin Timberlake and Bruno Mars. I never returned it, by the way. It's back home, in my parents' closet.

So what would we find in your closet now? I say this proudly: Last summer I made a decision to get in better shape, so I ended up having to buy a bunch of new clothes. The easiest places to shop are in the building where I work—J. Crew and Banana Republic. But the store I take the most pride in buying from is Baldwin Denim, out of Kansas City, Kan. I've probably purchased every pair of pants they've come out with. If you see Jay-Z in camo pants, those are Baldwin Denim. So not only do I get to wear great clothes designed by people from my hometown, but Jay-Z also wears them! Talk about three birds, one pant.

How about dressing for big events? Designers have been kind. The good people at Tom Ford gave me an amazing tux for the White House Correspondents' Dinner in April. A few weeks later I went to the Met Ball in Calvin Klein. Sometimes they let you keep the stuff, which is awesome because then you look really good when you go to your buddy's wedding. You show up in your fancy tux and shiny shoes, and they know you're doing OK.

You mentioned losing weight. Did you do it by exercise or with diet? Mostly diet. It's nice when you're working on a movie because you have structured eating times. During filming of The Millers, I rented a house in Wilmington, N.C., and Olivia [Wilde], who's a really good cook, made some vegetarian meals. Not eating after 10 P.M. also made a difference. So did dialing down the knob on different things, like less beer and whiskey, more tequila and vodka. That's not a joke, by the way. It did help [laughs]!

Speaking of Olivia, congratulations on your engagement. I've got to ask: How did you know she was "the one"? She is a combination of everything that I love about women—she's smart, strong, caring, beautiful, and as funny as anybody I've ever known. She just has it all. It's like she's the most gorgeous Costco you've ever seen in your life. Early on in our relationship, I would sneak onto her Twitter and read through things she had written. I'd be like, This is awesome. She's awesome.

Well, you make an awesome couple. I'm guessing you have a lot in common. It's funny. We were having dinner a while back at this Thai restaurant in D.C. and watching a guy outside who was struggling to parallel park. Olivia said, "I'm an amazing parallel parker," and I said, "Well, I'm a parallel-parking ninja!"

You should have a contest to see who's better. Absolutely. See how small a spot we can get into. I don't know her philosophy on bumpers, though. I believe they are there to bump while I'm trying to pull into a space, but she might deduct points for that

Who are your all-time favorite SNL characters? I was genuinely surprised that Two A-Holes, something that Kirsten Wiig and I wrote at 5 in the morning, made people laugh. [Also], working with Will Forte as the rhyming ESPN announcers is always fun, [and] the strip-club DJ is really cheesy. Anyone who has been in a small-town strip club has heard that voice.

PLUS: Watch our behind-the-scenes video of Jason at his photo shoot.

— Megan Deem