No, they will not make cocoons. They are butterflies so they will make chrysalides (plural of chrysalis). Swallowtails are side hangers (as opposed to thing like monarch that are bottom hangers) or those species that lie flat. they will find a surface clump up it and sit there for a while. After some time they will spin a silk "girdle" around their midsection and a "pad" near their tail. Shortly after that they will hang off that girdle. They will then shed their skins, revealing the chrysalis, the chrysalis will then imbed the girdle in its back, stick its butt in the pad and hang off of the surface at about a 45 degree angle.
Whether they leave or not depends on how close the nearest hard surface is. Since parsley shrivels a lot when I dies, it isn't stiff enough to hold up the chrysalis, so they usually move to something firmer (when I raised swallowtails in my room, I once had one pupate on the cord to my computer!) If you want to keep them "to home" stick some sticks or dowels close to the parsley, to provide them with adequate substrates.
Protecting them is a little iffier. Once they have pupated, moving them is really hard (you're almost guaranteed to dislodge them from the pad and possibly break the girdle). The one on the post has already probably pupated, so it probably will have to stay where it is. Theoretically you may be able to move the other ones inside WHILE they are caterpillars, and let them pupate on sticks there. WARNING if you do this, make sure the chrysalides are kept somewhere that ISN'T heated (like you garage) otherwise their clocks will get messed up, and you'll have the butterflies emerging in January!
You're in MO, so I assume we are talking about Eastern Black Swallowtails. Bear in mind those make TWO broods in the year, and yours may be over winter ones, which take more time. A good way to tell is to see what color the chrysalides are when they show up. Summer brood make green chrysalides, winter brood make brown.
