This paper investigates the concept of capturing small near-Earth asteroids into bound periodic orbits at the Sun-Earth L1 and L2 points using momentum exchange. A small asteroid is first maneuvered to engineer a fly-by with a larger asteroid. Two strategies are then considered: when the small asteroid approaches the vicinity of the large asteroid, it will either impact the large asteroid or connect to it with a tether. In both strategies, momentum exchange can be used to effect the capture of one of the asteroids. Then, a two-impulse Lambert arc is utilized to design a post-encounter transfer trajectory to the stable manifolds of the Sun-Earth L1 or L2 points. A selection strategy for candidate asteroids is proposed by considering both the deflection windows for capturing asteroids and the size of the asteroids.