First I tried to catch mine like I used to catch Blue Crabs in the Chesapeake (using a chicken neck) but the bugger wouldn't hold on long enough. So, I cut the top off a 20oz gatorade bottle, tied a string around the neck and put some pellets food in the back of it. Dropped the thing in the water near the rocks (so snails and hermits couldn't get in) and then just waited. In about 10 min, the sally came over, inspected it for a while and crawled right in. A quick yank on the string and he was outta there. The trick here is to make sure *all* of it's legs are inside the trap before you yank on it or it will be able to pull itself out.
Speaking of memory, I also think they communicate. I had 3 of em in my tank at one point and when I pulled the first one out, I left him hanging in my net in the tank until I could get the 2nd one out. But the second one wouldn't go into the bottle, no matter how much I enticed him. I even put a whole silver side in the bottle. I eventually gave up, pulled his buddy out and bagged him. Not long after I did that, the second sally walked right into my trap.