A common shortfall in many fictional worlds is that they are heavy on the (official) history and geography, but short on the little details of culture. What are people's attitudes to one another? What rivalries and prejudices exist? Without those details, the world remains stale.
I think making up jokes can help with that. They don't have to be good jokes. In fact, it's probably better if they're the kind told when drunk, or in a locker room:
An Argian and a Bolir walk into a Cenoban bar. The Argian walks up to the counter and says "Give us two big glasses of beer."
"We haven't got any glasses of beer left," answers the barman.
"What?" the Argian says. "Where's the next shop?"
"Across town," the barman answers.
"I will walk there and get us some beer, my friend," says the Argian and leaves without another word.
The Bolir sits down on the bar stool and says "It's a shame you don't have any beer left - it's the most wonderful thing in the world. A soothing balm, a wellspring of friendship and joy, a reliable friend!"
"Oh," says the barman. "We have plenty of beer and mugs, we just don't have any glasses."
This joke tells us quite a lot of things: Argians are stubborn, Bolirs are prone to talking about things in flowery emotional terms, and Cenobans are either painfully literal-minded or sly bastards that like to play tricks on Argians. Probably, Argians have the highest social status, as the Argian is mentioned first and speaks first, while the Cenobans have the lowest - the bartender is either playing the kind of trick you pull on someone who's too full of himself, or he's just quite stupid.
Of course, you can spell that out directly, but I think making a list of jokes allows for a more subtle characterization. Are Cenobans really stupid or just sly? Are Bolirs emotionally incontinent, or smooth operators who try to use fancy language to get what they want? Probably, both perceptions exist, but who has which perception depends on who they are in turn.
As a real-life example, the native inhabitants of Chukotka, a remote region of Russia, are often the butt of jokes that paint them as deeply unsophisticated, but sometimes as quite clever in their own way.
Ideally, you want different kinds of jokes told by different kinds of people. Recycling of jokes can also be an interesting thing: As social mores change, acceptable targets may change too. You can say a lot of nasty things about lawyers that you (thankfully) can't say anymore about Jews - but I bet there's a fair bit of recycling going on. Just dust off that old joke about a greedy Jew and replace "Jew" with "lawyer" and you're ready to go!
So recycle away! Take a joke about a Frenchman, an Irishman and an American and make it about a Be'huxtian, a Lurgix and a Mupp. Just be careful not to set up a boring parallel where Be'huxtians are just French people with extra heads, Lurgixes are Irish with scales and Mupps are tiny winged Americans. So pick another joke with a different mapping, or figure out how to change the joke to conform more closely to what you imagine your fictional people to be like.
If you don't know where to start, the shorter and more off-color, the more punchy. As Lois McMaster Bujold wrote:
What do you call a Dendarii girl who runs faster than her brothers?
I'll leave you to figure out the incredibly subtle message about how people from the Dendarii mountains are perceived.