If you don't have a queen catcher or aren't good at finding the queen, you can put a queen excluder between the bottom board and brood nest for a few days to keep the queen from leaving. You can take the queen excluder after a few days, after the girls have gotten used to the new box.
Adding a frame of brood and/or honey stores, if you have other hives you can take them from, is also very helpful way to make the swarm want to stay in its new digs.