It has the characteristics of an Arctiid moth if this helps....The closest I can think off the top of my head is the Salt Marsh Tiger.

EDIT: I believe there are some similar looking moths in the genus Hyphantria.

are loose, made primarily of the caterpillar's hairs... and I just Googled those two options to verify that they're not exceptions.

But... I don't know why I didn't try this before, but here is what I got when I searched for "Artace cocoon". Good guess Morgan! And there's only one species in the eastern US.

Oh wow. You have no idea how happy I am to finally have this solved. I never thought to do a search on the cocoons, so kudos to you and your brilliance. Thank you.

I kind of like calling it the Okefenokee Swamp Thing rather than figure out what it actually is ;) Many of the pictures from the Artace genus posted in the guide were taken aroundabout Georgia, just like your swamp thing, so you never know. Could be this moth or a close relative. This coccoon was built on a blade of grass in my backyard. Found it just as my stepmom was about the mow the lawn, couldn't help but move it to a safer place. Just about gave up on it until the wee critter came crawling out one evening.