Thank you for including the picture as it helps me understand what kind of bee house you have.

Don’t add the cocoons to the tubes. (Instead, keep them in their small box; more info below.) You can set the house and the cocoons outdoors several days before your first fruit trees begin to bloom, when the flower buds begin to swell. 

Choose a site for your purchased bee house on the east side of the house, in a place where it will be sheltered from rain and the harshest rays of the sun.  Next, place the box of cocoons nearby, perhaps just below the bee house. (If the box containing the cocoons is closed, make a 5/16-inch diameter hole just above the bottom on one side so that the newly emerged bees can exit the container.)  After the bees emerge from the cocoons, they will mate, the males will die, and the females will begin to fill your hollowed bamboo sticks with individual cells, one after another and separated by mud barriers. To each cell, the female will add a pollen cake and an egg, and then will seal the cell with mud.  And so it goes until she fills the tube.

See this publication for more information: “Orchard Mason Bees” http://ext100.wsu.edu/snohomish/wp-content/uploads/sites/11/Orchard-Mason-Bees.pdf