Monarch caterpillar question?

So I've had around 5 or 6 monarch caterpillars on the milkweed outside my house, and I looked it up and read about the caterpillars, and I had enough resources and stuff that I believe I can bring them inside, put them in an enclosure and take care of them. (1, to show my niece, who comes over every other weekend, and 2, they are becoming endangered and I figured they stood a better chance inside my house.)

However, since I've brought them in and put them in their enclosure, they've been a little shy and aren't moving much. They have plenty of air, space and all the milkweed they could ask for. I followed the instructions I read to care for them to a tee. Did I do something wrong or are they just a little shy.

Note: I also have a warm lamp aimed at their enclosure to imitate a warm sun, I figure that's better than them being cold.