Shooting began on 5th November 2002, Gram Parsons' birthday.

From the producers of the Charlie's Angels sequel Full Throttle re-jigging their own schedule to Cameron Diaz financing the hair extensions there was an incredible amount of goodwill that enabled Grand Theft Parsons to be made at all. All the actors drove themselves to set - unheard of on bigger budget movies. During the first two weeks on location in Palmdale everyone was shacked up in shared rooms in the EZ8 Motel or "Sleazy 8 Motel" as it affectionately came to be known. It seemed so crawling with drug dealers that Knoxville, who was first on the scene, remarked to producer Frank Mannion "did you pack a piece?"

Luckily the caterer was willing to work for peanuts as she'd known Gram Parsons some thirty years earlier. The crew worked for subsistence and the costume designer Sophie Carbonnell had a paltry $5,000 budget to play with to dress thirty actors and dozens of extras. Then there was just the small problem of the undrinkable coffee on set. Leading ladies Christina Applegate and Marley Shelton paid for a Hollywood catering truck to deliver delicious lattes and cappucinos to the set one night while they were shooting in the desert as a morale booster for the crew.

The team also had to come up with many innovative ways to keep the production values high and the costs low. They were keen to shoot the film on 35mm rather than digital and so snapped up remainder stock or “shortends” that remained at the end of the shoot at T3: Rise of the Machines at a cut price. Due to the tight schedule there could be no allowances made for bad weather. If it was pouring with rain the crew just had to keep on shooting and a freak sand storm in the middle of filming just had to make it on screen. Caffrey says, "Filming Grand Theft Parsons really took me back to the old grass roots of film making. With the crane and steadicam available for just one day we had to shoot five or six different scenes one after another." As Knoxville says, "We shot the hell out of it. ...We were shooting eight, nine pages of the script a day," The renegade shooting style was more akin to Jackass' TV work than his other forays into Hollywood. "Grand Theft Parsons was pretty much guerilla filmmaking," he said. "We were shooting quick and on the move. There's no time to go back to your trailer or your box and sit. It was much in the same spirit as the way we shot Jackass, just everyone working their ass off. Men in Black II was a completely different story. You're in your trailer half the day watching DirecTV. They're both fun experiences, just polar opposites." The film started shooting the week after Jackass: the Movie’s release in the States and as Knoxville says "coming from Party Boy and Steve O to Robert Forster was something else." According to Caffrey, "Our production was blessed. LA was saturated in rain for three solid days and right over where we were shooting was a patch of blue sky."

Ironically it was on the set of Grand Theft Parsons, rather than on any Jackass stunt, that Knoxville got the worst injury of his career so far, breaking his nose. For the first half of the shoot the make-up team were covering up a black eye. There were other hitches. At one point during shooting the crew were behind schedule and needed to keep Robert Forster for one more day but he was due back on set at his other job - the mega budget Charlie's Angels sequel Full Throttle - on Monday morning. Mannion spoke to the producers of Full Throttle and they agreed to ask Demi Moore to make an earlier call time to allow Forster to finish his scenes. As Forster says "on small pictures you hit the set, go to work and deliver the goods."

Caffrey says, "Paramount were very close to putting some money into the film but ironically, losing the studio financing was, in retrospect, one of the best things that could have happened to us. Having private investment gave us a lot more freedom to get the film made the way we wanted. Now we have a piece of rock n' roll history which will hopefully hold its own ground.”

For Caffrey there was another reason the shoot turned out so well. "Corny as it may sound, I felt that Gram's spirit was watching over us. I've never felt such a presence of somebody looking down on me, making sure it all goes well."