"Nothing puts a smile on my face like the love of my life dancing in a tracksuit and curly wig," Wilde, 28, tweeted Saturday.
Sudeikis, 37, appeared on SNL that night in the "What Up With That" skit wearing a red tracksuit and wig while doing the Running Man.
Though Wilde may be madly in love with Sudeikis, she shot down rumors Friday that the two are engaged. "No, I'm not engaged, but I am at the Stones show and holy sh-t Ronnie Wood you got style, boy. It's just a fact," the Change-Up actress tweeted.
Wilde and Sudeikis, who began dating in December 2011, have both been previously married. Wilde finalized her divorce from filmmaker Tao Ruspoli in September 2011 after eight years of marriage, and Sudeikis was married to 30 Rock writer Kay Cannon from 2004 to 2010.
"Learning to be by myself and be OK with it, and not need the validation of another human being, that has been the biggest challenge," Wilde explained on Lifetime's The Conversation With Amanda de Cadenet in May about going through her divorce. "But I know coming out of that, I'll be a better person -- and a better partner -- eventually, for someone."