On the set of the BBC show.
A whole lot of behind the scenes material has been shown for the BBC series His Dark Materials, including this video about puppeteering the dæmons on set.
Some nice making-of shots to check out in the video, which is embedded below.
The VFX, primarily by Framestore, includes an insane amount of creature work. Keep an eye on befores & afters for coverage of that work soon.
Buy issue #1 of befores & afters in print