That cheesecloth idea sounds like a good one. The squirrels are very active now. I went out a few days back and got two greys. Went the next day and got one grey and two fox. Both days there were 5-10 squirrels in one tree. I sat in place, picked em off and then went and gathered em up.
If I'da had my shotgun I could've limited out quick both days but i had the .22 and was waiting for good clean shots. Plus, the squirrels aren't scared off by the crack of a .22 like they are a shotgun.
I prefer a 22 and headshots to a shotgun any day, and so what if a few get away, that just means they're there for the next time you go out right? I have friends who can't understand why I prefer to hunt rabbits with a 22. I go out on the first sunny day after a snow, find some nice hedgerows and thickets, and just slowly sneak along still hunting em', then I snipe em' with a headshot. Ya' know somethin', it's really surprising how far a rabbit can run without a brain.