What they do is kinda of cool actually if you are into insects.
Momma Mud Dauber starts a nest and creates a three sided chamber out of wet mud.
She then flies off and finds a food source, usually a caterpillar or spider. She then stings it, BUT not enough to kill it, just paralyze it.
She puts it the chamber, lays an egg on the paralyzed insect and seals the chamber.
When the young hatch they have a fresh food source right there in the chamber.
Momma Mud dauber loves fresh mud, so if you don't like you neighbor, put some fresh cement out for her. She will build the nest of cement, on you neighbors house.
You haven't lived until you try to remove a Mud Daubers nest built out of cement!!