Painted Lady (a.k.a. Thistle Caterpillar)
Soybean leaves may be webbed together by this hairy caterpillar (also known as the painted lady caterpillar). Larvae are covered by branched black spines or hairs over much of the body.
Source of information
J.P. Michaud: http://entomology.k-state.edu/extension/insect-information/crop-pests/soybeans/thistlecaterpillar.html
Pest photo source
Brian McCornack and Phil Sloderbeck, KSU Entomology