Once you have setup your milkweed bouquet and have placed your caterpillars on it, place that inside a rearing cage or a five gallon bucket with a screen lid.

It is important that your rearing setup has a screen lid in order to provide plenty of ventillation; not because the caterpillars need to breathe; but moreso because caterpillar droppings need to dry.  (Otherwise caterpillars can get sick.)