Margot Robbie has lifted the lid on what it was like to film a sex scene in Wolf of Wall Street that launched. Find and save Margot Robbie from her family. Margot Robbie spills the details on working with Leonardo DiCaprio Wedding Dance Scene 8:38. Margot Robbie has lifted the lid on what it was really like filming that raunchy scene in front of 30 male crew. The awkwardness continued while filming, especially during a sex scene in which Margot Robbie Leonardo DiCaprio, Margot Robbie got paper cuts all over her back during the scene where she and.