Start with an ironic style. Penn and Teller do much more than just magic. They use concepts of deception, the audience's expectation and stereotypes about magicians to pepper their performances with irony. Take serious magic tricks and exaggerate them and expose other supposedly dangerous tricks as harmless to perform magic like Penn and Teller.
Develop a dialog. Rather than a show that features one trick after another, Penn and Teller couch their magic in a dialog that refers back to itself and carries running themes to keep the audience enchanted. Figure out what tricks you want to use and then develop a dialog or monologue around the tricks so the performance flows naturally from one trick to the next.
Choose gore over mystery. Whether it's sticking a knife through Penn's hand, having Teller swing upside down over a set of bear traps or performing precarious movement on top of a bed of nails, Penn and Teller will always choose gore, or the prospect of gore, over mystery. So, to perform like Penn and Teller go for tricks that hack people in half rather than make them disappear.
Add twists to old tricks. The magic duo frequently takes old, well known tricks such as juggling flaming torches and makes them more exciting. In the case of juggling fire, Penn demonstrates that the fire isn't so dangerous, since you can always drop the torch. Instead, the daring magician uses broken bottles that will instantly mangle his hand if he catches one wrong. Take old tricks and give them a so-called edge or twist.