Your caterpillars have everything they need right in the cup when they arrive. They will spend the next 7-10 days eating and growing in the closed environment of the cup. That means you do not need to immediately set up your habitat.
You can set up the habitat when you are ready to transfer your chrysalides into their chrysalis log. Once they've formed chrysalides, wait 48 hours for them to harden, and then move them into the habitat.