Answer by taking a quote from the following article:

Fibber McGee and Molly was an American radio comedy series. A staple of the NBC Red Network for the show's entire run and one of the most popular and enduring radio series of its time, the prime time situation comedy ran as a standalone series from 1935 to 1956, then continued as a short-form series as part of the weekend Monitor from 1957 to 1959. The title characters were created and portrayed by Jim and Marian Jordan, a real-life husband and wife team that had been working in radio since the 1920s. Fibber McGee and Molly, which followed up the Jordans' previous radio sitcom Smackout, followed the adventures of a working-class couple, the habitual storyteller Fibber McGee and his sometimes terse but always loving wife

The Jordans portrayed their characters in four movies. In the early years of the radio show, they were supporting characters in the 1937 Paramount film This Way Please, starring Charles "Buddy" Rogers and Betty Grable. Once the show hit its stride, they had leading roles in the RKO Radio Pictures films Look Who's Laughing (1941), Here We Go Again (1942), and Heavenly Days (1944).  The first two RKO films are generally considered the best, as they co-star fellow radio stars Edgar Bergen and Charlie McCarthy. Harold Peary also appears in both as Gildersleeve, with Arthur Q. Bryan, Bill Thompson, Harlow Wilcox, Gale Gordon, and Isabel Randolph appearing in both their show roles and as other characters. Bill Thompson in Look Who's Laughing played two parts: The pushy sales-man, and the man who shouted "It's Hillary Horton". Gale Gordon played Otis Cadwalader, Molly's ex-boyfriend in Here We Go Again. Arthur Q. Bryan played the Mayor's aide in Look Who's Laughing. The Jordans' participation in Look Who's Laughing was set up in the Fibber McGee & Molly episode "Amusement Park" (6/17/41), in which Gale Gordon played an RKO pictures representative who followed the McGees around the amusement park and chose the McGees as a representative American couple to star in a movie with Edgar Bergen and Charlie McCarthy. The day before the film's real-life premiere in San Francisco, the movie had its fictional opening in Wistful Vista during that week's radio episode, and Bergen and McCarthy made a guest appearance ("Premiere of Look Who's Laughing" (11/11/41)).  Look Who's Laughing has been released on VHS and DVD as part of the Lucille Ball RKO Collection. Here We Go Again has been released on VHS and was released on DVD on January 14, 2014, through Warner Archives. Heavenly Days was also included in the January 2014 DVD release of Here We Go Again as part of a "double feature" DVD. Look Who's Laughing, Here We Go Again and Heavenly Days have been featured on Turner Classic Movies.  In addition to the feature films, the McGees appeared in character in the 1945 film The All-Star Bond Rally, a promotional film for war bonds. The characters appear as bookends to the film, attending a stage presentation hosted by Bob Hope, who knows and recognizes them. The All-Star Bond Rally lapsed into the public domain in 1973 and is widely available.  Other films featured the McGees' neighbors. The first film was called Comin' Round the Mountain (1940) and featured the McGees' neighbors The Old-Timer (played by Bill Thompson) and Gildersleeve, as the mayor of the town. Gildersleeve's character was in many other films before The Great Gildersleeve show and movies. Abigale Uppington is in the film County Fair along with Harold Peary, and his future radio show co-star Shirley Mitchell (who also played Leila Ransom in The Great Gildersleeve); the Uppington character also appeared in Barnyard Follies.

What did they do after that?
Once the show hit its stride, they had leading roles in the RKO Radio Pictures films Look Who's Laughing (1941), Here We Go Again (1942), and Heavenly Days (1944).