Yeah, I love yarn bombing. The bull for instance, went up over night. It was all cut off pretty much the next day but everyone who saw it got a kick.
And yeah, as Nigel confirmed, the pieces are made before-hand and then they are put into place and closed with a seam. Crochet seams take only a few seconds for simple pieces and minutes for longer or more complex so it's very easy to make the parts, put them in place, secure them on, and run away giggling like a loon before anyone notices.
Red Heart is pretty indestructible, it looks fine for months. Wool and cotton, though, get matted and nasty super quick.
Some yarn-bombers leave little tags like "pull here!" so the seams can be undone and the piece doesn't have to be cut off. That way the yarn can be reused after a quick wash, if the opportunity arises.
It is pretty awesome and nothing is damaged or permanently altered. It's just a quick way to brighten things up and get a giggle.