Our entomologist is out of the office today, so we can't give you a certain i.d., but we think you should put it back outside to continue it's life cycle naturally.
Depending on weather and time of year, this late in the season some caterpillars will suspend completion of metamorphosis until springtime next year so as not to die with the first cold snap.

It also could be a caterpillar that has been parasitized by a beneficial wasp, which may hatch hundreds of small fly-like creatures inside your home, which we are sure you would agree is not good for them or what you want.

cm

Thank you.  You were correct, it started hatching little fly-like creatures a few days after your answer.  Luckily I had placed it outside in a screened porch and discovered the hatching before too many of them were released.  I moved them further outdoors.  Lesson learned.

These are the many cocoons of a braconid wasp in a cocoon sack. Here is a good photo of the cocoon and the wasp: http://bugguide.net/node/view/219516/bgimage
Braconid wasps are very beneficial parasitoids of garden pests. You want to save these!
 Here is good info: http://lee.ifas.ufl.edu/Hort/GardenPubsAZ/Braconid_Wasps.pdf

ECN