I noticed the egg was changing colour (it darkens), yesterday, and this morning the tiny caterpillar emerged.
You can see it in my photo, above, with the remains of its egg. It's about 2 mm long at this stage.
The usual process is this. "The eggs are laid on milkweed plants. They hatch into baby caterpillars (larvae). It takes about four days for the eggs to hatch. The baby caterpillar doesn’t do much more than eat the milkweed in order to grow. After about two weeks, the caterpillar will be fully-grown and finds a place to attach itself so that it can start the process of metamorphosis. It will attach itself to a stem or a leaf using silk and transform into a chrysalis. - See more at: http://www.monarch-butterfly.com/#sthash.oEYLHHaQ.dpuf"
At this very late stage in the season, with our weather now quite cold, their survival isn't a given. If this tiny one does survive, its processes will be slower than usual. This is because, in the cold, the caterpillars become quite sluggish.
So, the first step (egg hatching) has taken 7 days, when it would usually take 3 or 4 days.
Right now, our tiny caterpillar is on a milkweed leaf, on a milkweed stalk I've placed in our lounge. When you pick the stalks, just smash the end of the stalk section a little, to allow it to suck up the water and stay fresh. I find the stalks last quite a long time, this way.
Stay tuned and I'll keep you posted on Tiny's progress.