Actually, the rest of the comic would be in three-dimensional space. The extra-dimensional beings would be from the 2'nd and 4'th dimensions.
Think of it this way: Normally, when an artist draws something, he is projecting a 3-D image onto a 2-D medium. Now, what are you going to do if you want to project a 4-D image into a similar format? Why, project the 4-D image onto a 3-D medium, of course! (True, it's physically a 2-D medium, but with 3-D glasses, it becomes a 3-D medium.)
For another example of this being done, check out this animated, rotating 3-D projection of a
hypercube. (Warning- Java is required. 3-D glasses can be used, but you can also just cross your eyes if you know how to view stereoscopic 'Magic-Eye'-type images. Click the 'Stereo' button to cycle through the modes.)