If it's not killing your plant then leave it, your plant will recover
when the critter's gone. If it is killing your plant you can also
transplant a few of the caterpillar(s) to another host plant then Bt
the rest. You can also capture it, place in a glass aquarium and feed
it fresh leaves daily, caterpillars are wonderful learning experiences
for kids. Yours might be a gray hairstreak butterfly:

http://www.enature.com/fieldguide/sh...?imageID=17930
http://www.butterflygardeningandcons.../lb/l/gray.php

Other butterfly caterpillars that eat mallow are painted lady (Vanessa
cardui) and checkered skipper (Pyrgus communis). If you want to learn
more do a search to images of their caterpillars. I hope this helps.