I have been doing Google searches for examples or teleplays to download that may offer insight for sketch comedy writing. Is there a specific format that those in the industry follow or is simply the same teleplay/screenplay format used by the rest of the industry?
From what I can tell from some brief research, it is the same format as when writing a script for radio, or television. For example, from this article regarding Comedy Sketch Writing (written by Richard Herring, David Mitchell and Robert Webb):
I recommend having a look at the BBC Script Archive for examples of sketch comedy scripts for TV and radio.