I have struggled a bit with this binding and still have not mastered making a curvy caterpillar. Maybe a task for over Christmas when I need a break from the DIY jobs in the house.
Top Caterpillar was my 2nd attempt
A closer view
Practice 1 and 2
My second practice attempt led me to believe it was probably better not to follow the instructions too precisely. Instead of wrapping the threads as I went, I found it easier to make the legs and then go back and wrap the body. I wrapped the top caterpillar on my book cover with chenille thread which gave him a furry look. He has also got bead eyes and gold thread wrapped around his body to add some sparkle.