rare caterpillar

So: we have this on our patio today, under the portales - first walking around the terrace, then climbing up under a window.  I do a little Googling, and find that this is, indeed, not a walking Christmas tree nor strange sea slug, but a caterpillar of the Zephyr Bullseye Moth and, apparently, very rare.  Said moth is absolutely stunning, so I want to give this caterpillar the best chance of making it.  So far as I can see, it lives on pinon trees, so I went and cut it a branch of pinon tree (it seemed very unimpressed).  It's also, of course, very good at self defense - each one of those little spikes is armed with toxin, and you wouldn't want to stroke it.  Apparently the pain wears off after a quarter of an hour or so.  But I feel very protective of her ... I wish I knew where she really wants and needs to be ...