Sketches should start in perhaps a “normal” place. Sure, there can be a crazy (funny) character to begin with. But if there is, consider making the other character the “straight man”. And, often, of course, it is funny when the straight man is the one being antagonized by the crazy character.
From there, the sketch should escalate. For example, worse and worse things start to happen to the straight man. This is why it’s great to start in a non-crazy place. You want to be able to have somewhere to “go” – meaning that you don’t want to start in a totally nutso place to begin with because it then makes it hard to ratchet up from there.
It’s also best to make the escalation follow some kind of cohesive progression. What I mean by this is that you should try to make each step of the staircase have something in common with the other step. You don’t want to begin antagonizing a character if she is insecure about her divorce, but then switch to bugging her about her choice of clothing (unless it is tied in somehow to antagonizing her about her divorce). In other words, try to make sure that there is some pattern that is being followed and adhered to.
Happy sketch writing!