Here's some info from a website in Illinois (urbanext.illinois.edu/bugreview/boxelder.cfm):
Habit There are 2 generations per year with 2nd generation adults overwintering in protected sites, including buildings. During the summer, these bugs live on boxelder trees, where they feed on seeds found on the tree and on the ground. When cool fall weather arrives, they migrate to buildings for protection. They cluster on the sides of the house. They crawl into cracks and crevices and eventually get into the walls. On warm days in winter, they can be found, often in large numbers, on the south and west sides of the house in the sun. They may also move into the house interior at the same time.
Damage During the fall and winter they can be annoying in the house. Boxelder bugs do not feed on food or clothing nor reproduce in the house. They may spot curtains and wallpaper with their fecal material. Also, they will leave a red or purple stain if smashed.
Control Non chemical: If found indoors, remove by vacuuming. Remember not to crush them, or they will leave a red stain.
Caulk all cracks and crevices to reduce their chances of entering the home. They may still enter through doorways. Eliminating seed-bearing boxelder trees may help reduce the boxelder bug problem.