I was asked recently about Monarch Caterpillars and cold weather. Generally I have found that the caterpillars do just fine as long as it’s above freezing, but if it’s supposed to be below freezing I take some extra precautions.
I have several of those small containers that you get at the pet store that house hermit crabs. I simply cut off a few stems of milkweed and leaves, place those in the container along with the caterpillars.
One thing you have to be prepared for once you bring them inside, is they will become much more active since they are no longer cold so make sure you have plenty of milkweed on hand.
Here’s what my setup looks like