But little about how to make “Grand Theft Hamlet,” which won best documentary at SXSW in March, was established. For starters, nearly every audition or rehearsal in the game ended in bloodshed.

Less common are concerns over the cast slipping off the top of a blimp. But that was one of the quirks of making “Grand Theft Hamlet,” a documentary about a pair of British actors, Sam Crane and Mark ...