Hmmm, I guess you DO need to have satire explained to you.
Blazing Saddles is a deconstruction of the western. It constantly directs little self-aware winks toward the audience that indicate that yes, these characters know they're playing out stereotypical roles. It's full of anachronistic and fourth-wall-breaking lines, from "I must have killed more men than Cecil B. DeMille", to "You will be risking your lives, whilst I will be risking an almost-certain Academy Award nomination for the Best Supporting Actor."
And to top it off, near the climax of the film they build a fake town-- the metajoke being, of course, that the fake town they've built is using the same false fronts as the "real" town in the rest of the film. So when the camera pulls out from the fight scene in the fake town to reveal they're all in the middle of a movie studio -- that it's ALL fake -- this is nothing more than the logical conclusion of the film's overarching theme.
But hey, if you weren't sharp enough to catch that, your loss.
