HA! I watched that too, and nearly jumped on here to say the same thing. (but had to find out whether she lived or died, so jumping on here had to wait! LOL)
I was thrilled to see "real knitting" too! A quick garter stitch for the camera's sake. And yes, I'm sure the thick yarn and needles were so that the prop/costume manager could crank it out quickly for the shoot schedule.
Still, great fun to see.
Lovin' the Grey's Anatomy!