I figured from your picture that yours was a sawfly because it looks like it has too many pro-legs to be a caterpillar, and a consequent web search brought up this page - the picture looks a likely match. Couldn't post it last night as I was on my iPad and for some reason I can't paste URLs into ATP from it.
http://www.walterreeves.com/ga...
another article, but with no picture, is here:
http://blog.syracuse.com/cny/2...
What I don't like is that no scientific name is given in the articles, which makes me wonder exactly what sawfly it is. If you do take it to a garden centre with you, make sure they count the pro-legs to differentiate, and don't try to sell you something that works only on caterpillars. Insecticidal soap should work for either. BTW I wouldn't take it in a plastic baggie, go with a jar. I found out the hard way that critters that can chew leaves can also chew plastic baggies and escape
