Egg Case in Winter
He talks about Polyphemus Moth cocoons and Praying Mantis Eggs. He's also on Facebook.
Without doing to much exploring of the yard this year I've already managed to find two egg cases of Praying Mantises. One year I found a hatched Polypheumus Cocoon on the ground, so I know they're out there. I know other giant silk moths certainly make cocoons such as the Cecropia silkmoth, Hyalophora cecropia.
Other species such as the Imperial Moth, Eacles imperialis, burrow in the ground before forming a chrysalis. I had a friend call me over the summer because she kept finding these "things" emerging from the ground. When they first emerge their wings are as limp as a silk swatch used to clean eye glasses, so they don't look much like a moth at all. Thankfully she sent me some pictures and I told her not to kill them. They turn into something quite pretty.
So the cocoons and eggs are out there. Time to start looking. Should you find a giant silk moth cocoon, perhaps a sheltered cage placed just outside the window or inside a shed, or unheated garage would work best. Praying mantis eggs are fairly common along forest edges and among tall grasses in sunny locations.