They aren't out yet, so put them on the schedule. I plan on late June/early July in northern Ohio. Don't look at a calendar though...look at plants. Bagworms will hatch soon after Japanese Tree Lilac starts to bloom. Get ready then and do the spray when it reaches full bloom.
I used spinosad (Conserve) with good results. The common recommendation is Bacillus thuringiensis (Bt) which is very effective against early instars. It doesn't have as long of a control window as spinosad and costs a little more...but is very specific to lepidoptera. If you wait until later in the year you will need something a little stronger like bifenthrin...but don't wait that long.
They are extremely easy to kill if you get the timing right, and almost impossible if you get the timing wrong.