Like this one? Its a bit squished, but I found it on a leaf.

So if I found 1, I must have more still on the plant most likely right? Whats the best remedy, searching and removing them?

Bayer Complete Insect Killer will do the job. After first spray repeat in 10 days....next spray two weeks after that. Then spray again at first sign of new damage. No new damage. Spray preventatively if you choose to. Bayer Complete Insect Killer is systemic, but new growth is not protected, only old growth that has been sprayed. Therefore, in order to keep foliage pristine a spray schedule is necessary. To spray at first sign of new damage is option 2.

Rose slug is the caterpillar of the Rose Saw Fly. Some Rose Saw Fly species are one time events. Other species have brood after brood after brood of slugs, caterpillars, larvae all season long. So keep a close eye to the rose's foliage, especially new growth. Spray accordingly.

Mister Moses.

Sawfly. I just ignore the damage on mine.

The organic solution is Spinosad...When they get real bad here that takes care of them...

Another option if you want to keep the sawfly larvae at bay is to spray a strong stream of water at and under the leaves of the plant. You can also spray insecticidal soap which is considered an organic control that mostly won't hurt the good bugs. It won't help the leaves that are already eaten, but new leaves are more likely to grow in without the damage. As Magpie says, it won't likely hurt the rose in the long term just look unsightly for a while. Sawflies tend to lay larvae at times of year like now and it naturally fades with the season. Also, if you don't spray anything chemical the "good bugs" will come to feast on those larvae and create a natural control for the rose.

This approach is called "integrated pest management" and in my garden I call it "Lazy Gardening" (in the best way). I never get around to spraying anything most years or doing anything about bugs and after a few years the nasty bugs mostly disappear. I haven't had aphids in my yard in about 12 years until I had to be roseless for the last two years (long story), and for the first time ever I'm having to squish aphids and spray water until the ladybug larvae and other good bugs catch up. I'll be back to having no aphids again in another year or two I expect. You need to have food for the good bugs to keep them coming to your yard to do your work for you, so if you can stand the look I'd just ignore it.

Cynthia