Bimmer, Buffy, Kharma and Shiva developed a sneaky way to catch them. One would chase and the other would run an intersecting route to the tree and snap them out of the air when they'd make a jump for the tree. I've seen them do it alone, to, by barking, then instead of chasing doing the interception.
The squirrels at the farm got really paranoid, but I think if they'd ever seen one of the dogs coming up the tree . . .