Last weekend the members of the psychedelic pop band the Flaming Lips could be found leading 1,000 people through Oklahoma City dressed in skeleton outfits and bearing flaming torches through the streets.

The band’s frontman, Wayne Coyne, who, with his shock of grey hair and dapper Armani linen suits, has the look of a playboy messiah, could be found at the front, walking along in his man-sized plastic bubble, a kind of human hamster ball, which he usually uses to clamber over the heads of his fans at concerts.

Invited to host the annual March of 1,000 Flaming Skeletons by the city that has also named a street after them, the Flaming Lips demonstrated the kind of inspired, good-time weirdness on which they have built a career.

It was inevitable that the band, who have always made their own videos and never used one glitter cannon when they could use 100, would eventually make a film. Christmas on Mars, their first foray, opens here next month. What was surprising is that it should have taken them so long.

Originally begun in 2001, the film’s epic gestation had fans joking that it was their Chinese Democracy (Axl Rose’s $10 million album, finally released this month after 12 years). Coyne, who wrote, directed and made the sets for the film — a strange, dreamlike tale about a Mars space station, a baby and a mysterious mute Martian — prefers to joke that it was more like their Hadron Collider, albeit on a shoestring,

“I liked the analogy of the scientists working on that thing for ever and us working on this for ever, and let’s see which creation destroys mankind first,” Coyne explains on the phone from his home in Oklahoma City.

In the end both arrived at the same time. In the summer American audiences were treated to the film in a bespoke tent with a purpose-built sound system (“basically, it’s as loud as a human can take”).

The prosaic reason for the film taking so long was that in the meantime the band became wildly succesful. When they started filming, they also began to record Yoshimi Battles the Pink Robots, their tenth studio album and one that would win them a Grammy and take them from being cult outsiders to adored elder statesmen of the far-out.

This being the Flaming Lips there were of course other, less conventional issues that came into play. For one, Coyne built all the sets in his garden, little by little acquiring the houses around him, transforming them into the Mars space station in which the film is set. It includes an old gas holding tank that served as a space tunnel.

“There is a field of these tanks that’s been in the south part of the city since the Seventies,” Coyne explains. A guy had dug them up and stored them there in case they’d get used. I knew they’d be great in the movie so I called him up. He asked why I wanted it and I just told him the truth: ‘I’m shooting this weird space movie and just think this would make a great space tunnel,’ half expecting him to say, ‘Oh faggot, get off my yard’, or whatever. And he said: ‘You know, I’ve been telling people that for ever!’ And he put them on the back of his truck and brought it to my house. The whole thing only cost me $300.”

When he found himself back home, Coyne would call in friends and family to help with filming. “I’d mow the yard, bring in tons of dirt and that, shot at night and with the right lighting, would be Mars.”

His most prized location is the “crack shack”. “We’d converted a shed into a captain’s office. Lots of silver foil and cool wires. Well, my older brother, who isn’t a crack addict right now, but has been off and on for his whole life, explained that before I owned it you would buy your crack in the house in front and then you could take it to the shack at the back and smoke it. I thought that was perfect.”

Coyne comes from a family of four brothers and a sister, they grew up in Classen-10-Penn, a rough, downtown neighbourhood where Coyne still lives, and drugs have always been around. The band’s main songwriter, Steven Drozd, was a heroin addict for most of the filming, which as the lead character, a mournful spaceman trying to ensure that his crew could celebrate Christmas with a Santa, was not without problems.

“Some nights we would shoot,” Coyne recalls, “and I only say this now because he is completely off heroin, and I wouldn’t know if someone would call me the next day and say: ‘We found Steven dead — he overdosed.’ It was really that severe.”

Coyne stars as an alien, a nod to some of the more outlandish mythology that surrounds the band. “It’s been claimed that I came from outer space. I don’t believe in stuff like that but it is fun to believe that anything is possible, especially when you are making art and movies.”

Broadly it can be described as a surreal Christmas movie set in space, but what is it about? “I really don’t know. Some of it I watch and I think: who is the weird guy who came up with this? But there was a story my mother would always tell us about this film she’d seen in which Jesus had come and rescued some dying spacemen. I’ve come to think she must have been sleeping and watched several films and basically dreamt it up and I liked the idea of making it.

“I don’t believe in God or Jesus but I do like Christmas and Santa. Someone like that could exist; you could be the type of person who is generous, you could do altruistic things for people who are less fortunate than you. So, I threw that all in. It’s all about humans making Christmas possible, not some magical entity like God.”

What about one of the film’s most striking images, a hallucinatory scene with animated marching vaginas? “I guess I thought any person, any man anyway, who got to make a movie about anything he wanted would have that stuff in it! And it is a Christmas movie, so there’s all the stuff about the birth of this strange baby and I wanted there to be some strange vaginalistic anxiety — all men wonder about what birth is. Really though, I just dream these things up. It’s just a cool scene.”

Christmas on Mars and screentalk with Wayne Coyne, at the Barbican, Dec 12, 13 and 14, 0845 1207527, www.barbican.org.uk/film

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