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Evidence of their longstanding friendship crops up all over the whole, wide internet. According to a transcript from David Letterman on the seminal webpage AmySedarisRocks.com, Sedaris speaks of a friendship solidified on the stage, specifically Wonder of the World in 2000-ish:
Amy: Yeah. I'm kind of glad [the play is] over. It's a tough schedule. But [Sarah Jessica Parker and I are] still best friends, and we had these identical necklaces made that say "Best Friends," you see?
Dave: Yeah. You and Sarah Jessica Parker actually sort of bonded through the production?
Amy: Yeah. Very much so! Today's her birthday! 52! And she gave me these shoes!
[...]
Dave: Now, um, what kind of things would you and Sarah Jessica do in your free time? Do you go to dinner and shopping, stuff like that?
Amy: Sure. She took me shopping once, we went to that store Louis Vuitton, they dressed us for something. I'd never been to a fancy shop like that. And I was in my bra and underpants — which I wear now that I'm 40 — and we were changing, and she was like, "Amy, what are you doing?!" I was just standing there in just that. I thought it was part of the dressing room, but it was the store.... Hee haw! Stupid, I know.
Sedaris later made cameos on Sex and the City, so their best friendship can only have grown from there, landing finally on the pinnacle of modern love and friendship: obsessively dedicated social. Happy birthday Amy Sedaris and hang in there SJP.