Yep I get that act too :-) However when my H does this I've gotten to where I just say something like "uh huh" or look at him with raised eyebrows and a skeptical look on my face...and he responds with something similar to "I know...prove it." He knows now that I don't buy it when he makes innuendos in front of others.
So...as MrsNOPS said...what do you do/say when she does do the groucho marx act?