What kind of foundation are you using? some bees would rather swarm than draw out new foundation.
I would let them build thier own queen as they must have some close to emerging or they wouldn't have swarmed. By the time you order a new queen and have her shipped, they'll have made their own.

The only thing I had to put the swarm in was a couple shallow supers with wired wax foundation. I didn't expect to need more deeps the first year, but ordered some foundation and a deep that won't get here until early next week that I can put on top of them. By then, I'm sure they'll already be filling the two shallow supers with eggs and brood. (It was a big swarm.) It's not ideal, but I'm not sure what to do about it - I sure didn't expect a new hive to swarm before it was 3 months old! If I hadn't seen the swarm leave the old hive, I wouldn't guess it had happened - everything seems business as usual there. I checked yesterday and found fresh eggs, so the queen must have laid plenty before she left. ALSO - can I move the new hive back by the other two soon, or should I leave it alone for awhile?