Summarize the following:
Most wild-caught females have already mated and are capable of laying eggs. If you catch one, you could coax her to lay eggs.  For butterflies, set them up in a cage with a water bottle and host clippings next to the light source (preferably sunlight). This will encourage her to oviposit. You may also want to keep her in a dark, cool area for a couple of days to help her acclimate to her new surroundings.  Moths are much easier than butterflies. If you catch an adult female moth, you can simply place her in a large paper bag, fold it up, and leave her there for a couple of days. She'll likely deposit eggs on the inside of the bag. Tear the bag, removing the eggs without touching them, and place them into a more suitable container. Since monarch butterflies are so popular, there are Monarch farms where you can order monarch caterpillars, like from Monarch Watch. They can ship the little critters to you unharmed. The only drawback to this is that you still have to find their food, the Milkweed. If it's not in your area, you'll have to order or grow it to successfully raise the Monarch. If you cannot find caterpillars in your yard or it's just the wrong time of year (it varies by locale), there are "caterpillar suppliers" for just this reason. Most companies have a wide variety of species to choose from and you know just what you'll end up with. Painted Ladies are probably the easiest, as you can just buy growth medium for them to feast on. However, this is a little less exciting then finding then on your own and knowing what they really like to eat. If you can, spend some time scoping out your garden. Exhaust all possibilities before you turn to the caterpillar farm.

Summary:
Consider catching an adult female. Visit a monarch farm. Buy caterpillars from a supplier.