You have aphids! What you are seeing is not the aphids themselves but their residue. They get down in the tender new growth and feed on it. They have been particularly bad around here for the past few seasons, as we've been warmer and dryer than usual. This year we've been cold but fairly dry. You need to spray with an insecticide ( if you spray.) I have tried most of the "natural" stuff - Neem Oil, Safer Insecticidal Soap, etc. and have found them fairly ineffective. My friend Jim Murphy uses Talstar, a fairly mild insecticide ( and he is an expert on this). I will use that if I can find it locally. If not, I'll probably use something like Orthene which is on hand. If it is warm enough by the end of next week, I will spray even though some daylilies are just emerging from the ground here !

flootas got ya covered. It is aphids. I am in Texas, and they have been especially bad this year. Sprayed twice already (hort. oil), and finally I think they are under control. Aphids will definately cause the leaf curl you are seeing.