If only a few trees have bag worms, the best thing may be to handpick and destroy the bags. This can be done in the fall, winter or early spring before the eggs hatch.
If there is a larger infestation, insecticides may need to be used. Best time to apply an insecticide is usually in early June.
More information, including information on insecticides, can be found here.https://entomology.ca.uky.edu/ef440