All you need to do is to brush up against this caterpillar, and it will be rather unpleasant for you, from what I have read. In that third photograph you can see the thin spines that carry the venom into your skin. I'm wondering if all that puffy skin is actually all venom reservoirs.
I've had run-ins with other venomous caterpillars before, and it has not been pleasant. So I'm sure this one is to be avoided, if possible. Actually I can see where they might be attractive to small children, looking like some cute cuddly toy.
Not too keen on having these in our citrus trees. Far too easy to not see one on the other side of a leaf while grabbing for a fresh tangerine or lemon. But I'm hoping that the caterpillar season for this species does not coincide with the citrus ripening season here.
Honestly, though, I'm not sure I will let the next one I see go with just taking photos of it. Might need to show them the underside of my shoe. No sense making them feel welcome around here.
I've seen some of the saddleback caterpillars around here now and again, but this is the first of this species I can recall seeing here.