Have you tried a handheld vacuum to suck them up? I'd try that before giving up your brussel sprouts.

I had the same problem. But since I have my garden in my back yard, it was easy for me to just spend a few minutes a day picking them off. I just crush them with my fingers. I've killed hundreds, and finally have them under control... I have not seen many the past few days. Part of what I did was to really prune many of the leaves off of my plants, so to make the bug inspections easier to do. Also keep an eye out for their egg clusters... they look like tiny cylinders, tan-and-black.
If you don't care about plants I would pull them out as you said. Otherwise they will multiply quickly.

Thank you guys!

I ended up ripping them all out today, then spent about an hour chasing down all the escapees that had taken refuge in neighboring plants. A lot of them were in the midst of mating (sorry, guys!) so I'm hoping I got them before a ton of eggs were everywhere.

Mcrose, where are you located (just the state is fine)? I discovered since moving south(ish) that it isn't worth the bother to have brassicas in the hottest summer months, and harlequin bugs were a big part of that. Now I grow my cabbage, kale, broccoli, etc. in the spring and fall. Very soon I'll be planting kale seeds and buying transplants, but the harlequin bugs will have disappeared for another year by then.

I'm in Northern Virginia, just outside of Washington DC. I started my brussels sprouts in the spring and was letting them grow until winter.

I'll try again in the fall. I'm new at this so I'm bound to make lots of mistakes. As long as my tomatoes, tomatillos, peppers, and other veggies are ok I'm happy :)

Ok, great, you're having almost exactly the same weather I have. To get brussels sprouts in the fall I have to buy transplants in august, then feed them a fair bit to get them to size up quickly. Then they will make sprouts in very late fall and through the winter. I also buy broccoli and cabbage transplants, but they will give me a harvest in the actual autumn months. I would start my own seeds, but I always lose track of them in the hurry to do everything else and they inevitably end up crisped. Cheers and good luck!

If you don't mind hand picking - the little buggers will tend to come up to the top if you go along with a hose and water with one of those nice drenching shower head type of wands. You can spray down into the crown of the plant and under the leaves some. Apparently they breathe thru their skin and so are coming up for air. I have been picking them off the prize-choi which they seem to truly love and have the upper hand on them for now. As you have the water wand in your hand you can also rinse their yellow guts off your fingers after dispatching them.