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Before pupating, the caterpillar has to attach itself to some sort of surface, such as a twig, or, if at all possible, the side of a cardboard box, the shaft of a crowbar, or the inside surface of a yogurt container.

The attachment takes the form of a silk spot-weld [a lot like velcro!] at the tail end, and a harness-like support thread, also of silk, at the head end.

Making and getting into the harness is the tricky part. It appears to start with the caterpillar reaching waaaay over to the side and back, and spinning out some silk onto the surface of whatever it is attaching itself to.

The caterpillar, still spinning silk, then starts to rotate its head over to the other side...

The idea is to get the silk strand to stay well behind the head during the rotation, since the thread has to end up several segments back from the head.

Then do the same thing back the other way...

Then repeat many times to build up the thickness and strength of the harness strand.

Then rest, and gradually assume the J-shape. You can see that the caterpillar has done a pretty good job of coating the rest of the surface of the twig with a layer of silk as well...good insurance against harness detachment, presumably.

It's interesting that the silk readily sticks to the twig, initially, and then to itself as new strands are spun out, but doesn't stick to the skin. Caterpillar skin is made of flexible chitin with a wax-containing outer layer ('epicuticle'), and that outer layer is presumably what keeps the silk from sticking. 

Here's another caterpillar already in the J-shape, showing both attachment points. Another is here.

When the caterpillar sheds its skin for the last time as it pupates, how does the skin get past, or out from under, the harness? Here's how.