I'd let em settle if it were me. If there's a lot on the wing you don't want the queen to get it in her mind to fly too, or you'll lose the lot.
While they're calming down, get your gear ready. Base, two brood boxes - five frames of comb or foundation in the bottom one (you'll put the rest of the frames in once the bees are in - the five frames just give them something to sit on without getting too crowded while they're all tumbling in), and the top one empty - and a roof. Put a queen excluder between the base and bottom box if you like. Remember that excluder's got to come off in a day or two though - if you've got a virgin queen she's got to be able to get out to mate or she'll be no good to you. That's what puts me in two minds about using an excluder like that - nice in theory, but I prefer to leave a swarm alone for a good week after I hive em to let em settle down. Brush, ladder if you need so you can get comfortably close to brush them down, and full protective gear - you don't know how they're going to like being manhandled. Some sugar syrup to spray them with might be handy, but it'd be nice to have a feeder of syrup in the hive at least to help them settle otherwise - I drizzle syrup on the frame topbars once I've got em in to give them something to clean up and play with.
Depending on how high they are something to set the hive on might be helpful, or I use a sheet that I can tie/lay over adjacent branches to form sort of a catcher/slide under the swarm right into the hive box - very helpful if you have branches under the one they've settled on that would stop them dropping straight into your hive.
then it's just a matter of getting the hive as close as you can, sheet slide in place if you need, and sweep em in. Be firm with your brush - better to get the whole cluster in a couple of sweeps than try and be too gentle and get them all in the air while you flutter away at them.
The purpose of the top brood box, unless they're a big swarm, is just to give you some higher walls on the hive so you've got a better chance of keeping them in once you've swept them in, so unless it's a really big swarm once you've got them in you can take that box off, put in your feeder and frames to fill, and slap yer roof on.
A frame of brood if you've got some handy is good to help them settle, but mine have done fine without.
