Agree w Dr. Fisher
Repeatedly apply fresh duct tape to skin & pull off (to remove spines & toxins).
Remove contaminated clothing. Clean skin w soap & water. Apply salve made w 2 parts baking soda & 1 part water. Apply ice for 15 min increments. Elevate if indicated. Don’t scratch. Document type of caterpillar that stung you (ie describe or take photo). > 50 species of caterpillars in US can cause painful lesions.>