I rarely wear any protection when collecting swarms as you say you can scoop bees up to put them in a box with you bare hands.
Although I went to help a local newbee catch her swarm which was hanging from a branch of a shrub in their garden and wished I’d put my veil on. I just went in as normal with a poly nuc underneath the gave the branch a swift shake unfortunately the cluster caught the edge of the nuc and 50% of the bees erupted into the air and 3 stung me behind the ear and it itched for ages!
I decided I’d wear my veil next time but tonight saw me picking up a cardboard box placed on a grounded swarm by the homeowner on my instructions - until i can get there in 5hrs time!
As I carefully righted the box and closed the flaps the house owner was mightily impressed until one bee found a gap and stung my finger!