When I first posted, I naively assumed the brightly-colored nymph was a molted skin. (It sorts of looks like something crawled out the back end.) Of course, this is not the case. The molted skin is the black and clear membrane at the rear of the nymph.

But it does go to show that mistakes can be corrected through repeated observation: I've been going back to this milkweed plant every few days for the last two weeks.