I’ve never looked inside a Teasel seed head before but I’m glad I braved the spines for a peek because each of the three I pulled open were occupied and, judging by the amount of frass, they’d been occupied for some time.
I think these are the larvae of one of the Endothenia species of moth, either E. marginana or E. gentianaeana, the former presumably being the more likely as there are more records of that species in south Wales. However, to be sure which is which you need to check each larva’s rear end to see if it has an anal comb. Not knowing this, I didn’t.
If you want to learn more about that anal comb, there’s a very detailed description, and clear photos, of the larvae of these two Endothenia species on the UK Moths website (E. marginana here and E. gentianaeana here). And, just to reassure you, I was able to close the seed heads (and wound stems of long grass around them, which should hopefully keep them closed so the larvae can complete their lifecycles) (I read later of someone who uses small rubber bands for the same purpose).