But uh, not a good idea. Unless you're SY of course.
Wikipedia said: "...Ironically, the resemblance of the larvae to soft, colorful cotton balls encourages people to pick them up and pet them.
The 'fur' of the larva contains venomous spines that cause extremely painful reactions in human skin upon contact. The reactions are sometimes localized to the affected area but are often very severe, radiating up a limb and causing burning, swelling, nausea, headache, abdominal distress, rashes, blisters, and sometimes chest pain, numbness, or difficulty breathing (Eagleman 2007). Additionally, it is not unusual to find sweating from the welts or hives at the site of the sting."
I still think making these into a fur coat could be profitable, although you might get charged with attempted murder if you hug anyone while wearing it >>; haha.