Just because something is all cute looking doesn't mean that it's not harmless. That's the case with the hickory tussock moth caterpillar.
According to multiple sources this very poisonous caterpillar has been spotted in Albany several times and also in the Catskill mountains.
When they get stuck in skin, a person may develop a rash, similar to poison ivy. In extreme cases the person will have difficulty breathing and may vomit.
As much as I'd want to pick this thing up I don't think it's worth the risk. So warn your kids and also keep and eye on your pets because this could also affect them.