Here are the directions from Parents Magazine:
You will need:
Any other embellishments you like
Create A Caterpillar:
>Fold a 3 1/2 x 20in. piece of paper into a 2in. accordion. Round off the top edge with scissors and unfold.
>On the back, glue a popsicle stick to the left of each fold.
>Cut and glue shapes for the bug's body and face. Glue two sticks as antennae; round front corner of face.