Review past episodes of the show you are writing for or wish to write for. See what has been done and garner ideas based on this pre-existing material.
Write as many ideas for desk pieces as possible. Don't worry about fleshing them out. Just get a number of abstracts on paper. You should have a minimum of about eight.
Review the list of abstracts you came up with. Check to see which ones are truly desk pieces as well as which ones require a minimal budget.
Select your top six favorite desk pieces.
Flesh out your abstracts into paragraph-long summaries. These should describe the set up for the desk piece, the execution and may even include a sample joke. Be sure to list any props that may be needed to accomplish the piece.
Choose your favorite two summaries and script these. For the most part, the only performer required for a desk piece should be the host, and the piece must make the host look good. This entails writing in the voice of the host, whether it is Conan, Letterman or Leno.
Read over your desk piece scripts. They should be no more than five to ten minutes in length. Are they funny? Can you think of better punchlines and set ups? Continue to edit until you are satisfied with the outcome.