Caterpillar

I went outside today and saw this little guy. Must have been freezing because it is very cold outside. Brrrrrrrrr!!

I moved him into the sun but when I went out again, he was gone. He was by some grass, maybe went in there.

I've seen a lot of caterpillars lately. Mostly just sitting on a leaf. Maybe turning into a cocoon. They were tiny and yellow with a black stripe. I wonder what kind this is.