I have lil white worms crawling wall i vacuum them and next thing i know it more there making cocoon?

Those little white worms sound like termites. You better call someone real soon.

If they’re making a actual individual cocoon hanging from a wall, they are probably moths. But since I don’t think your using the right word for what their making up there, little white worms sound like termites making a nest to me. Either way, you don’t want moths (will get into your food and eat your clothes) or termites (will eat the wood in your house), and you should call a exterminator to find out what they are and how to get rid of them.