This quest can be quite tiring, especially when catching the Squirrel. Capturing the Squirrel is the most challenging, as it can do some damage. You'll need to be around Level 17-18 for the first two and 24-25 for the last one to have any chance of success (though it may still take a long time). A Speed of 50-60 also helps here (several slow-down spells help a great deal too), but you will still need to knock the monsters' HP to roughly 10-15% before being able to catch them.