I do know that safers insecticidal soap will kill them if sprayed directly on them. I did that last season.
BUT, be very careful if you spray any soap/oil sprays as it can burn leaves if sprayed during the wrong time of day or if mixture is to strong. New leaves can be very sensitive to soaps/oils.
I've recently decided to just let the rose slugs have the more mature roses, so, as to hopefully have the good guys buildup more numbers over the next few years.
I will protect the small bands though until they mature alittle.
Good luck!

Almost forgot: Before applying anything to rose leaves, make sure the Rose bush is well hydrated with water. Soil drenched with water. And do a spot spray check of a few leaves to see if they are sensitive to whatever your using. I learned this the hard way. lol

Safer soap is best, but you can try 1 TSP dish soap/quart. Unfortunately the concentration of soap products varies, so this might be too much or too little.

I am brand new to roses so take my advice with a grain of salt. I planted a Tropicana Tea Rose and 3 Knockout roses a few weeks ago. The Knockouts, and to a much lesser extent the Tropicana, got attached by sawfly larvae over the weekend. It was amazing to see the destruction they can cause in just two days. I put a sprayer on my garden hose and blasted the buggers (shooting upward from underneath the leaves), starting from the bottom and ending at the top. I've been spot checking the roses in the morning and again in the evening and so far I have found only 1 larvae. I'll do it again this weekend and keep checking. If the problem returns and the garden hose proves futile, I will be trying Ortho's Ecosense brand Insecticidal soap which is $4.50 per 24 oz bottle at Wal-mart. Unfortunately I have only 4 rose bushes so it won't be too costly.

Here is a link that might be useful: Rose Sawflies (Roseslugs)

connie8010,

Anything that dislodges them from the leaves is good.
AS long as they don't crawl back on. lol.
The insecticide soap will need to be sprayed directly on the rose slugs to work. So, spray canes, top and underneath the leaves.
I take it you get a lot of damage also from them. Some people do, some don't.

zyperiris,

Our new younger roses have a lot of eggs that just hatched and i'm seeing the first signs of damage from rose slugs.
I looked on the underide of the leaves and I could not believe how many tiny tikes were on there. lol. The damage is starting manly on newer foilage for now.
I sprayed a few rose slug infested leaves with Safers Insecticidal Soap to check for sensitivity.
If all is good, I'll spray the entire plant, tops, bottoms of leaves and canes.
My fingers are clumsy, so, I do not like fumbling with trying to pick things off of delicate baby leaves. lol

I picked off about 30 in 2 days on mine but rather than leave them so they won't go back on it and I am too squeamish to squish them I just got a measuring cup filled with dish soap and water and pitched them into that. I bought a plastic one from the dollar store that I use only for gardening. Then at the end of the day I pitch them and the water over the fence. I then sprayed them about 9:30 at night with the Safer's to be sure. Will check them again today. I was finding the majority of them either curled up on top of the leaf at the base or along the side of the leaf or sometimes even in the flower or on top of the flower. Found one on the shield rose out the back curled up in the rose flower. Stuck out like a sore thumb with it being green the rose red so pulled it off and pitched it.