Sadly so, we had given up on Mr. Woolly and a few days later (ok, maybe it was three weeks), I finally dumped his cage. Out crawled Mr. Woolly, alive and well.
My neighbor had a similar story. The caterpillar died, the cage went into the garage... many many days later, somebody found the cage and decided to bring it back into the house. Out pops her Mr. Woolly Bear. Sooo confused...
So here's the scoop. Woolly Bears actually like old dead leaves. They like them because they are a great place to hide and hibernate for the winter. On cold Fall days, you can often see these caterpillars scurrying across the sidewalk or fallen leaves. They are looking for a spot to sleep for the winter. I was amazed to read that they live outside under rocks, old logs, under the snow until spring. Under the snow! In early spring, the woollys crawl back out and search for food. Only a few days of temps in the 50's and out they come, searching for anything green among all that brown. They will eat most anything, including dandelion leaves. So cool. Finally somebody is going help me weed, even if they are only an inch or so long.
Below is a great website that tells us how to care for the Pyrrharctia isabella a.k.a. Mr. Woolly.
http://www3.islandtelecom.com/~oehlkew/arctiidaecare.htm