As the initial idea for the rig with a motion path didn't work out very well in making the model move like a caterpillar, I had to think of another way to rig it. I'm not much of a rigger however, so I got a bit of advice and help from Zi, and together we managed to figure out a way to rig it and make it move, although minimal, but it adds to the fact that it's a robo bug and therefore can't be as flexible as a normal caterpillar. 

I first started by adding joints down the length of the caterpillar. I then added an IK Handel Tool from the head joint to the end. I tried moving the IK inwards, but the joints were moving downwards instead of upwards, so I had to add a locator to the bottom of the model and parented it to the IK handle. 
The next thing to do was to parent the mesh to the joints. I didn't skin it because it would have become too flexible and lose it's robotic nature. This method keeps the sort of stiff movement that would be expected of a robotic bug. 
I selected the main parts of the body and connected it to it's joint. I also parented the antenna and spikes to the body parts so that it will all move together. I tested it out and it was working fine.
Also, in order for me to be able to move the caterpillar with ease, I created two circles. I parented one of them to the IK by the head and the other to the joint at the back. This was so I could easily select the parts I needed by simply selecting the circle instead, as it was always so tricky to select the IK and the joints through the mesh. 
Picture
The two circles in the back, helping the animation process easier for myself.
 
 
Even though I have set out and reached the stage I wanted to achieve with this project, I decided to take it further and attempt to rig this caterpillar. 
At first I went ahead and added the joints across the body of the caterpillar:
However, after speaking to our technical instructor Ian, he thought a better way to deal with this was to make a motion path instead. 
After a bit of fiddling around, we managed to get the caterpillar following the path. However, we had to separate the feet and it's spikes from the motion path as they would become distorted if we had just put the entire model onto the path. 
So, in order to get the feet and spikes onto the model, I had to use a MEL script called rivetT. I would select two edges that crossed, copy rivetT into the MEL bar at the bottom and up would pop an IK. I then parented the feet and spikes to it's IK.
However, when I went to put the model on the motion path, it seemed that only the feet had stuck to the model. I solved the issue by parenting the spikes to the feet's IK's.
As I finally got the caterpillar moving along the motion path, another problem occurred. I can't make it move like a caterpillar when it's on a motion path. Instead of moving like a caterpillar would, it's moving like it's a centipede or something. 
I took a couple of playblasts so you can see the type of movement that's occurring at the moment: