
It's wonderful to hear from someone else who is so concerned about caterpillars. That concern is what turned me into a butterfly farmer. Welcome to the world of worrying about nearly invisible caterpillars and monsterous predators.
On the dime above, two Monarch eggs rest and one hatchling Monarch caterpillar crawls around. If you take a dime out of your pocket and look at it, you can realize how tiny the hatchling really is!

The invisible thread is webbing from its spinnerets. The spinnerets are located under its head, where we have a neck. It lays a line of silk when it travels. When the plant is bumped or a predator comes by, it can drop from the leaf and suspend by its silk thread. It will slowly crawl back up the thread, an amazing sight to watch.

Wasps will kill caterpillars and eat them or carry them away. The only ways to protect them is to enclose the plant in a fine net (like sheet curtain material) or move the caterpillars and some leaves indoors. If you move them indoors, you need to either give them a safe milkweed plant to eat (like you are growing) or add leaves to the container every day. Sleeves can be expensive so simply make one with glue and a piece of fine material. Slide it over the plant or a branch with the caterpillars inside and tie it tightly shut on both ends. When the caterpillar(s) eat the leaves, move the net and caterpillars to another branch or plant.
Nature only allows one or two eggs laid to become adult butterflies. We should expect to lose caterpillars in our gardens. We should expect to see wasps, spiders, lizards, praying mantis, and other predators to carry away our caterpillars. But it is not something that many of us can accept. So we fight it!