I did some research, and don't be worried. It's pretty difficult for one of these to follow you home. First, you have to go to a fiber event. You need to have (or borrow) a wheel, and some very pretty fiber. You need to spin and spin and spin - along with a few adult beverages and great food.... in the end - a yarn monster like the one you see above may take residence in your house.
I hear the only way to tame them is to knit them into something.