Caterpillars can cling to a surface with remarkable strength when you're trying to pick one up. You don't want to hurt it, so you should know a few things about how to handle your caterpillar properly.
Rather than try to pick the caterpillar up, place a leaf in front of it and give it a gentle nudge on the rear end. Usually, when a caterpillar is touched from behind, it will walk forward to avoid the touch. The caterpillar should walk right onto the leaf. Carry the caterpillar to a container on the leaf.
Quite a few caterpillars have spines or hairs that appear soft and fuzzy, but can actually produce a nasty little prickle and irritate the skin. Tussock moth caterpillars, for example, may cause a painful rash. Some caterpillars can sting – don't ever handle one with bare hands!