I have heard of people freezing the worms in paper cup with a bit of water to cover the worms for use later in the season but I have never tried this.
See this reference for more information
http://insects.tamu.edu/fieldguide/cimg305.html "Life Cycle: Winter is spent in the pupal stage, which appears naked, brown and spindle-shaped, 2 to 3 inches deep in the soil. Adult moths emerge in the spring and mate. Female catalpa sphinx moths lay clusters of up to 1,000 white eggs on catalpa tree leaves, usually in April or early May. Tiny caterpillars hatch from these eggs in about 10 to 14 days and feed together (gregariously) for the stages (instars). Caterpillars molt several times during development before they crawl down the tree trunk and pupate in the soil. Adults emerge several days later. There may be 4 to 5 generations per year in Texas."
Frank
