Looks like an Omniverous Leaf Tier (tie-er). They tie leaves around themselves with silk for protection and feed on the leaf. They usually just do a little cosmetic damage. They are the larva of a small gray moth and as such are vulnerable to stuff like Bacillus thurengiensis, diatomaceous dust. or neem oil. If the tree is small, handpicking will get them, too.

I've been picking these things out of my apple trees and wondering what the heck they were. I was gonna post a picture but you beat me to it, thanks. In my experience, they don't seem to do much damage though.