It looks like a Mexican bean beetle (in it's cocooning larval stage). Check out this link for more info: http://www.lovesfoodandart.com/urban-gardeners-beware-the-mexican-bean-beetle/

That does look like the larva of a Mexican Bean Beetle. However, nothing I have tells me that the Mexican Bean Beetle, a cousin of the Lady Beetle, is a pest of watermelon. That, of course, does not mean they would not visit a plant as adults thought probably not normally as larva.

http://entomology.ifas.ufl.edu/creatures/veg/bean/mexican_bean_beetle.htm

Where in the world are you that watermelon would be growing now?

kimmq is kimmsr

Absolutely the larvae of the Mexican bean beetles, which will be found on members of the squash family upon occasion.