Thanks to the power of google, thats exacty what they look likehttp://www.bugs.com/bugs_database/lawn_pests/plaster_bagworms.html
The Plaster Bag Worm is similar in appearance and closely related to clothes moths. This unique looking creature is easily seen on light colored walls. Close examination of the house may reveal bagworms attached to the underside of chairs, bookcases, and other furniture. They are often found along the edge of rugs, near baseboards, or on the lower edges of walls. Bagworms are quite common in garages and underneath buildings. This larva mainly feed on spider webs; however, they will also feed on fabrics made of natural fiber
The larva of bagworms lives in a flattened gray, watermelon seed shaped case about ½ inch long. The case is constructed of silken fiber and sand particles, lint, paint fragments, and other debris attached. The case has a slit like opening at each end, and the larva is able to move around and feed from either end.
Control of the Plaster Bagworm Larva is similar to control of clothes moths. Good housekeeping is important, especially the removal of spider webs. Sweep down and remove any spider webs and Plaster Bagworm casings.