It is usually taped the first weekend in Dec, with the majority of the 'parade' taped on Sat. However, there is taping on Friday and Sunday as well....at least that was the case last Dec.
The taping mostly involves Main St. for the actual parade, and then various spots around MK...the Castle, Rose Garden, end of Main St. at the entrance. At least those were the most used areas last year. If you happen along during the parade taping, it can mess up the foot traffic flow, so just walk inside the shops. The other areas around MK weren't all that busy when I was there on taping days.