You can't really "captive" keep them like ants. You need to free-range the colonies. Using a nest box you take the nest down [always the fun part] usually when there is a few workers [but not too many or it's too dangerous]. You need to then hotglue the nest [I'd recomend chilling it in the freezer for awhile, fridge will not faze Bald Face Hornets] keep checking on them in the freezer until they are completely "sleeping". They wake up in a heart-beat.
You have to quickly hot glue the nest to a nestbox [something like a bird-box works well] and make sure they are as far away from the old nest site [they will smell the old site and sometimes ditch and go there and try rebuilding again it's really annoying and dangerous because then you have go and catch them again, and they are edgy when they have already been disturbed]
I'll write up a better thing when I'm not running on no sleep. It's certainly not easy..... also, you will eventually get stung when keeping wasps, either when capturing them [I've had some close calls....... that have made me rethink even doing anything with wasps, the nightmares.....] so don't do it if you don't know or you do know you are allergic [although that should be a given]