Give each child a plate with a craft stick and a dab of frosting on it along with an individual bag of min-round cookies. Encourage the children to use the frosting to stick the cookies together to make a caterpillar. Provide a bowl of small candies to stick to the head for eyes and snips of Twizzlers for the antennae.
This can also be done with mini-crackers using spreadable cheese for the glue.