Aren't they fun to watch?

I'd take a little container filled with soapy water and give everybody a little bath. After they drown, toss them on the lawn for the birds to find.

Oh, they are Datana major, the Azalea Caterpillar.

Hand picking as rhizo_1 suggests will certainly work if you have a relatively small number of azaleas. Spinosad is a safe caterpillar spray that lasts well unless washed off by rain. It is available under a number of brand names.