When I lifted one piece of bark I found three neat balls of mud attached to it, three of the Orphans had attached their cocoons to the bark at mud level and had woven around themselves a cocoon consisting of little grains of sand and mud woven together with silk!
They were still moving around in there (I could see them through little gaps in the mud wall) and hadn't reached the pupa stage yet.
The balls of mud are firm to the touch (I did not dare press to hard on them though) and are peppered with the caterpillar's spines which they have obviously shed. The inside of the cocoon seems to be lined with silk (from what I can tell through the gaps) while the outside is mud and the spines. These three are the only ones that made their cocoons 'above ground' (above the layer of mud in their box), the rest have buried themselves and have presumably made the same cocoons 'underground'.