Another picture of the fuzz. Thanks, Jeannie :)

Of course you realize that we can't really see much from that picture. But the first thing that came to mind from the description is a lacewing larvae. One of my FAVORITE critters!

I'll attach a really cool Youtube video and maybe you can compare this with what you have.

By the way, there are several other insects that attached debris to themselves.

Here is a link that might be useful: Click here

Oh, if it is one of the lacewings, they DO eat aphids, though they won't be too happy with the milkweed aphids. Nothing much likes to feed on those.

Thanks for the info. I have lacewings all in my yard and breezeway. Really notice them at night flying around the lights. Thanks, Jeannie :)

Did you look at the video? Is that the insect you 've seen?

It looks like him. I put him in the white container earlier to have the white as a background to show him better and that was when I was watching him and he did come out of his fuzz to move around.....especially when he tried to climb out of the bowl. I put him back on the milkweed with those aphids. If that black and orange bug doesn't eat aphid, then maybe the lacewings and this little guy has been eating them. One day there's lots of aphids on my milkweed in different areas of the yard and breezeway(have too many potted plants) and the next day, they are like gone. I have lots of wasp also, so maybe they are taking care of the aphids. Thanks, Jeannie :)