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Wait till spring. Its unlikely you can provide a better home than mother nature. If they survive the winter, you can use a bee vac to grab the bees while you put the comb in a hive. I think a top bar hive works best for capturing a wild hive but thats kinda like talking about the best oil, everybody has a different opinion.
In the mean time, build/buy a hive and any gear you need. Also, read up on beekeeping, its more than painting a box white and stopping by once a year to steal the honey.
Bee vac: http://www.beesource.com/build-it-yourself/bee-vac/
Beekeeping forum: http://www.beesource.com/forums/forum.php