Yep I've kept wasps as pets before.
there is some good info in this thread:
to sum it up, use a plastic "kritter keeper" which you can get at almost any pet store and also places like walmart. turn it upside down and cut out
a few squares of cardboard to tape up in one of the corners. this were serve as a place for them to build a nest.
They need honey and water to start out with, but once the nest gets going they will need insect prey. they will use cardboard to build their nest.
good time to catch a queen is early spring as soon as they emerge.
any questions just ask.
Good luck! and BTW when you catch your queen in spring you want a paper wasp, and NOT a yellowjacket or hornet.