Thanks a lot for the detailed and illustrated answer @etarena.
I have tried Trainable Weka Segmentation quickly when initially opening this thread, and tried again now as you recommend this plugin, but it could not finish training because it ran out of memory with my sample images ("java.lang.OutOfMemoryError"). They have a higher resolution than the example I posted here (your concern was relevant, but this image was just for posting here), and I thought 4 GB of RAM dedicated to Fiji in the options would be enough, but turns out I have to downscale the images to get the plugin to finish training.
Is there any other workaround I could try without downscaling the sample images? I suppose I could crop around each caterpillar to get only one sample per picture, lower resolution per picture, and just eight times more pictures in total, but that would be time-consuming without automation, and automation cannot be achieved before training segmentation.
After that segmentation on a test low resolution picture, I followed the steps you described but could not get to the RGB picture with the 1-8 labels. I'll read more thoroughly the help of the Analyze Particles and I am currently checking the workshop you linked, I'm sure I just skipped something or did something wrong.
Once I manage to get the thing running from start to end, is there a way I can automate it on an image sequence (except the segmentation training and threshold which will probably yield better results with some manual input)?
Thank you again for your answer and helpful links.