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Margot Robbie and Leonardo DiCaprio in an scence from The Wolf of Wall Street.

Margot Robbie thought she was blowing it. There she was, living out every aspiring actress's dream: auditioning for Martin Scorsese, a man she calls "god of the industry," opposite Oscar nominee Leonardo DiCaprio, for a major role in The Wolf of Wall Street (now in theatres, and in awards contention). But the chemistry, the magic, wasn't happening. She had to do something memorable, and fast.

Just getting in that room had been intense. Robbie, now 23, an Australian bombshell, played a dream girl in the film About Time, and co-starred in two TV series – Neighbors, a hit show in her home country; and Pan Am, a short-lived series in the U.S. – but she was not a known quantity. She'd made an audition tape for Ellen Lewis, Scorsese's casting director, "like probably every other actress in L.A.," Robbie said, laughing wryly, in a phone interview this week. Lewis had shown the tape to Scorsese, who liked it; she then phoned Robbie, who was auditioning for something else in London, and told her to get to New York, pronto.

The role was a heady one: Naomi Lapaglia, second wife of the title character, Jordan Belfort (DiCaprio). He, flush with excessive success, spies her at a party. She's The Girl, the archetypal blond goddess, the one with the face and the body and the hair, the woman every man would choose if he had his pick of any woman on Earth.

As if those demands weren't daunting enough, Robbie had met with Lewis before the audition, and Lewis had seen what she was planning to wear: jeans and a shirt, her usual look. "Ellen said, 'No, no, no, what else do you have with you?'" Robbie remembers. Her answer: Nothing. Lewis sent her to SoHo, and told her to buy the highest heels she could find, the tightest dress she could squeeze into, and a push-up bra. "I never dress like that, ever, but I thought, 'Just do what she says,'" Robbie continues.

By the time she walked into the audition room, her feet were sore, and she thought she looked ridiculous. She didn't think, "Oh my God, I'm walking into a room with Marty and Leo." She was just thinking, "Don't trip, don't trip."

The three chit-chatted. "After 10 minutes of letting them know what the weather forecast was for the Gold Coast, Queensland, Australia," where she had been raised, Robbie says, they launched into an audition scene, Jordan and Naomi's first date. It was rocky: DiCaprio began improvising, which Robbie didn't pick up on; she thought he was talking to her, not her character. She started panicking, because she hadn't improvised since her high-school drama class. Trying it now, with DiCaprio, in front of Scorsese, "was a little intimidating, to say the least," Robbie says. "I pretty much failed miserably."

So when they started the second audition scene, a domestic argument, Robbie remembers thinking, "You have maybe 10 seconds left in this room; do something impressive." She began screaming at DiCaprio, which was not in the script; he hollered back, and before she knew it, she slapped him in the face. That's right – she smacked the star.

"For a heartbeat, I thought, 'They're going to sue me or something,'" Robbie says, a bit amazed at herself even now. Instead, Scorsese and DiCaprio laughed. The director called her back for a second audition, and gave her the role in the room.

Because Scorsese and DiCaprio had made four previous films together (Gangs of New York, The Aviator, The Departed, and Shutter Island), on-set they had a nonverbal shorthand that left Robbie feeling "a little behind at first," she says. "I would have to keep up with whatever they had just established without words. They have this momentum. They're like a snowball that keeps rolling." Soon, however, she and DiCaprio were watching the Gangnam Style video, which had just dropped, "obsessively, on repeat" between takes, and Scorsese was sharing with her his wealth of stories.

"Marty's really warm, really chatty, he laughs a lot, he's really easy to be around," Robbie says. "He knows every film ever made in any country of any era, and the most interesting facts about Charlie Chaplin or gangsters, or things from when he was growing up, or a German film he saw from the 1920s. He never ceased to amaze me. I really just tried to remember to shut up and soak up every moment I could listening to him."

A committed environmentalist, DiCaprio made her watch a 20-minute YouTube video of all the endangered species that had died off in the last decade. "I was so bored," Robbie says, giggling. "But he's so passionate about it. He's a really cool guy. He's honestly the most talented actor I've ever come across. I really don't know how to explain it. He's so believable that I forget I'm acting when I act opposite him. I've never experienced that with anyone else." (That's saying something, since, in Robbie's next two films – Focus and Suite française, both due out later this year – she acted opposite Will Smith and Michelle Williams, respectively.)

Robbie giggles again, and for the first time, sounds her tender age: "Every single interviewer has asked me, 'What's Leo like?'" she says. "I want to mess with him and answer once, 'He's a dick. He not that talented, he's just had good directors all this time.' But he was awesome."

Throughout the shoot, Scorsese continued to urge his actors to improvise, and Robbie found one more memorable moment to let loose. During a scene in their child's nursery, Naomi seduces Jordan to get her way. The action line in the script instructed her to pull her underwear aside with the heel of the stiletto she was wearing.

"I remember thinking when I read it, 'That's just impossible,'" Robbie says. She actually sat down at home and tried it. "I was like, 'No, I'm right, that is absolutely impossible.'"

So on the shoot day, she knew she had to come up with something else, and it had to be racy. She did. (Spoiler alert.) This ingenue, this newly minted goddess, lifted her stiletto heel, and ground it into DiCaprio's face.