These are particularly difficult to deal with. They have no known predators. Make sure not to give lilies to anyone at risk of transferring the infestation.
Hand picking can be effective in controlling them. They tend to hide under small amounts of soil so if you don't see any on or around a plant dig a very shallow area around the plants and you may find more.
Bayer Rose and Flower Spray are effective treatments you might try without resorting to seriously toxic chemicals. This can however cause harm to beneficial insects like bees. Generally you should try to spray while these "good" insects are not present if possible. Always follow directions on the product.