Make sure the bee is actually in the hole. You can do this by listening for a scraping sound coming from the wood, or you may see sawdust falling from the hole.
Step2
Place the mouth of the bag over the hole and hold in place with 2 pieces of tape. Make sure to create an opening at the hole so the bee will go into the bag when it exits the hole.
Step3
Keep an eye on the bag, if the tape comes loose retape it. If the bee was in the hole you will catch him in the bag. The bee will not get out once it is in the bag so you don't have to be in a hurry about getting rid of it. The bee will die after a few days.
Step4
When you are ready simply take the bag down and dispose of it bee and all.
Tips & Warnings
To find the holes observe the bees. You can also look for tell tail sawdust, the hole will be directly above it.
The holes are almost always on the bottom side of a board.
Leave the bag up for a few days even if you catch one right away, I often get more than one bee out of a hole.