well, that's weird...I wrote out a reply to this yesterday and just noticed I never posted it! LOL! here it is...
Hi Chris,
I actually rear most of mine from eggs either ordered from a local breeder or collected from one of my reared females and a wild male. Personally, I have had little luck locating cocoons! Something you may be able to find now would be the promethea. They fly in May and then again in July so you might find some uneclosed cocoons. First, you need to become familiar with what the cocoons look like and where to look. Promethea have several favorite food plants and in our area (I am in NH) sassafras and spicebush are two of them. I have linked you to a site with some good pix (be sure to look at the last cocoon as well). They usually wrap themselves in a single leaf and just hang all winter.
The luna, polyphemus and cecropia have probably already eclosed and are gone. luna and poly are usually on the ground. They spin in the tree and fall with the leaves or climb down and spin in the leaf little. These you should look for in late winter/early spring once the snow cover is gone. Cecropia are usually firmly attached to trees. Here is a pic: entomology.ent.uga.edu/collection/B3.htm
Finding the cats can prove next to impossible unless you have a good eye and monitor a host plant with signs of chewed leaves and frass. Hope this helps a little 
lele
promethea cocoon