First of all, let's get our terminology straight. Butterfly caterpillars don't make cocoons, only moth caterpillars do. If these are indeed Mourning Cloaks - and I think that's a reasonable call - they will make chrysales. When they're ready to pupate, they'll crawl 10-50 m to a sheltered spot such as the underside of a large limb or under an eave, to do so. The chrysales hang upside down and the butterflies emerge about 10-15 days later, depending on temperature. It's a natural process and should be allowed to succeed (or fail) on its own, without any "assistance" from you. You're likely to do more harm than good by trying to help, and it no longer would be a natural process.