Unfortunately I don’t have much to go on. This is a movie we had when I was about 3-4 years old. I want to say it came out in the late 80s/early 90s. I would have been watching it in 91/92. I’m pretty positive it was portrayed by puppets (similar to the muppets) and I remember them teleporting, and a very distinct sound happening when they would do so. It was a soft synth effect that would descend in pitch, while wobbling up and down as it went. I did my best to recreate it here:

https://www.dropbox.com/s/ml5vqvahxqdmtx8/Strange%20Sound.m4a?dl=0

I also remember letters coming out of their mouths? Like, at one point one of them when “OOOOOooooooooo” and the letters OOOOOOOooooooooo would come snaking out of their mouth. That is really all I can give. The backgrounds to the video are pretty vague in my memory. I wanna say they were up in a castle type environment.. but they could have been up in space for all I know.