The fairings cost several million dollars.
During the post launch briefing of CRS-8, Elon Musk mentioned that:
A few more things we want to do... we want to try to bring back the
fairing - the big nose come back. That will certainly help because
each of those cost several millions.
Midair helicopter capture would be tricky. Is there such a system currently in use for any use case? Only thing I could find with a quick search is this system developed in the 70s.
Correcting myself. There is a system developed by NASA for space probe recovery.
Also came across a youtube video which is obviously unofficial and must be based on the reddit post mentioned in the reply by Hobbes.
One thing I disagree with that picture is that the parachute has to be parafoil rather than round parachute. Capturing something coming down straight is quite difficult and dangerous. It has to be under parafoil with good forward speed so the helicopter can come up from behind, match the glide and then capture with more ease.
edit: Shotwell mentioned fairing recovery on 2/18/2017:
Though confirming that the Falcon upper stage would not be reused,
Shotwell was optimistic about a redesign for reuse of the payload
“We’re working on that,” she said. “It’s such a shame. This hardware
is so expensive, you want to save everything.”