did they write it themselves?

What do you mean it doesn't say on IMDb? If you click he link under the visible cast list on the main page of the show on IMDb, at the very top we can see who've directed the show and whole bunch of people with writing credits.
Mitchell and Webb seem to have writing credits in 25 episodes, James Bachman in 19.

They do add additional material to Peep Show, just so you know. So anything that seems slightly Mitchell & Webb-ish was probably added by them...

They are creators but every show has writing staff to help