"Being able to poke fun at it and have some jokes at our own expense, I think it prepared us for what was going to happen," the comedian, 50, shares exclusively with PEOPLE while discussing his latest comedy special, Above It All, out now on Dane Cook's website. "Which is people were going to put us as a target, so if we make the joke first and we're laughing at it, you can't really hurt us with that."
The actor has heard his fair share of snarky comments about dating someone 26 years his junior —but he doesn't care. After spending five years together, Cook proposed to the fitness instructor, 24, in July and has never been happier.
"I was asking my best friend, the woman who I've shared some of the greatest times of my life with, to marry me so we can start the next chapter our of lives together," the Good Luck Chuck actor shared with PEOPLE over the summer. "I was also thinking of how absolutely stunning she looked."
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Cook brings up his leading lady throughout the hour-long special that was filmed in the couple's Hollywood Hills backyard in front of an audience full of strangers.
"We knew going into the relationship, we knew that people would have an opinion in the public eye," Cook explains. "But mostly, we were very early making jokes where I would say something like, 'I'd love to have a family,' and she would say, 'Oh, I'd love to have a family when I'm young,' and I'd say, 'Well, I'd like that as well because I'd like to hold my children on my death bed.'"
There are many things Cook loves about his fiancée, but her way of dealing with things in the public eye stands out out to him.
"She has an incredible sense of humor like I do," Cook says. "People don't see it as much because she's very chill, but she's got a savage sense of humor. You want to roast? You want to sit and watch a Real Housewives with her. She is tremendously funny, and so being able to poke fun at it and have some jokes at our own expense, I think it prepared us for what was going to happen."
The Vicious Circle star got to work alongside his same director, Marty Callner, for the comedic set where he recounted other real-life events, including dealing with two stalkers in a five-year period.
"It's something we still deal with," Cook explains. "I deal with anxiety, and that kept me worried. I was kind of on that place where I wanted to make sure she [Taylor] was safe. I wanted to make sure we were safe and we were dealing with somebody who was unhinged. I want to always push the limits of comedy, but I'm also very understanding of what that means when you start going towards that territory."
Cook notes that experience and the pressures of performing in front of others have helped him deal with his mental health battles today.
"I think my anxiety is at its height when I'm thinking of what could happen or won't happen or that's ruminating," Cook shares. "I have learned my mechanics over the years have taught me, 'Nope, just get to work. Invite the people in. Start that relationship. Don't let that intrusive thinking.' I used to have a lot of intrusive thinking."
The stand-up star uses tools he's learned over the years in therapy to get over his jitters, which is clearly working. Cook shared at the Oct. 4 premiere at the TCL Theater in Hollywood that because he recorded so much footage for the special, a second part will come out sometime in the future.
"I was always worried about what the other kids in the playground thought of me," Cook says. "And then it would lessen me. I'd almost kind of dismantle myself before I even got into, 'You might like me,' and I would think of 10 reasons why. 'Maybe I'm ugly and I have acne and I have a weird voice or whatever,' I thought at the time. The way I combat that is, I just keep pushing."