I watched the behind the scenes thing they do after the episode, and the director said they did both a continuous take, and shot scenes individually. They sort of gave credit to Kieran Culkin and the Director for the idea. But the director did say that more of the continuous take made it into the episode.
Also read an interview linked by Alan Sepinwall with the actress who plays Shiv. She said that even when the stuff in the episode was in a different room (for example, Kendall going outside for a call), they left one camera in the room with Roman/Shiv on the phone with Tom, and they had to ad lib things that weren't in the script. She said she didn't know how much, if any of that ad libbing made it into the episode, but that is a whole different level of staying in character/living the emotions that you're acting.
Also Kieran Culkin said something about the toll it took on him and the other actors to film this episode. Having to spend 2 weeks or however long in that emotional headspace, and then go home and try to remember he didn't actually suffer an emotional catastrophe even though his body felt like he had. Made me think of Heath Ledger, and how he died after playing the Joker. Hadn't really thought of it like that until then, because obviously Heath isn't around to have an interview like that.