We lost the first two swarms we collected when we started beekeeping last year.
The first was tipped into the hive around midday, but they left about 4.
The next weekend we were lucky enough to get a second swarm, but we held onto this one until evening as we thought that if they stayed overnight we would have more chance of them staying. 10am the next morning they were happily buzzing inside the hive, but at around 1pm they too left. ...
There seems to be a bit of swarm-taking wisdom that has been passed over in these cases.
After getting the swarm into the box (see next para),
the box should be left on site (eg under the tree where the swarm cluster was found) UNTIL THE EVENING.
This ensures that scouts, foragers and stragglers have the maximum chance to rejoin the main group (hopefully inc Q).
It means that hardly any bees get left behind to cause continuing annoyance.
When the evening comes, the box can be closed and removed. (And tipped into a hive immediately on arrival.)
If the bees don't stay in the box (and return to the tree instead), then the swarm-catcher has failed to get Q and must try again! Taking them away without Q is of course a recipe for failure.
Once she is in, Nasonov action at the entrance will both tell the beekeeper, and call in the rest of the swarm to where Q is rather than where she was.
Like YorkshireBees, I use a polynuc as my swarm-collecting box.
It makes things so much simpler!
Cluster in, entrance disc set to QX. Gently float in a couple of frames with foundation. Once you are sure Q is there (and so you don't need to chuck in any more bees), add the rest of the frames (inc a drawn one if possible).
In the evening, close the entrance, transport, then reset to QX and (re)secure with a map-pin or nail.
After a couple of days, open the entrance properly.
There is no need to properly "hive" them until they have moved in properly on those frames and look to need more space than the nuc affords.
I wouldn't dream of trying to find and mark Q until after I know that she is laying good worker brood. Marking a virgin (in a cast) isn't exactly going to help her to get mated.