The park's Monarch Grove provides a temporary home for thousands of Monarchs. From late fall into winter they make this their home and if you time it perfectly you can see them in clusters in the trees. 

When you reached the Natural Bridges State Park, on the right of the Visitors Center you'll find the path "Monarch Trail", fallow it and you'll end up at a fence off area with milkweed plants and nectar flowers for the butterflies. As migration is variable, you may call to check on the current information on the population. 

Also be sure to arrive before 9-10 am if you want to see them in clusters, after that time they get warm and fly away.