@WendyEM : These are less blended in to the substrate than that in David's photo on LBH http://lepidoptera.butterflyhouse.com.au/anth/nicothoe.html Have you reared ones looking like this?
I imagine how embedded into the substrate they are depends on the substrate - smooth (these) v fibrous (David's on your site). They (empty cocoons) remain for years and detach with time. Is their another hairy species that builds these urticating cocoons under bark on food trees, adjacent trees and other wood etc ? The pointed ends suggests this sp. I have only once found similar cocoons that probable were not A nicothoe because they were probably 2x + the size of these. I am not certain what they were - they were long exited so no, I did not raise them.