Before he was really famous and just another SNL cast member, he used to frequent all kinds of underground, hipster NY parties. He was known for sampling all the drugs, but was especially fond of coke. I think there are even still pictures of him floating around on the internet looking wrecked as hell with a young girl
on each arm if anyone cares enough to look.
TLDR - dude's always been known to hardcore party. I doubt he's changed that much just because he's married and hosting the tonight show.