Certified GKH Gardening Expert
Those little pests are likely a form of caterpillar and they do indeed have amazing appetites. You can spray your rose bushes with an insecticide such as Sevin or BioNeem (neem oil). Follow the directions on the label and most likely two applications will be required. There can be several cycles of the caterpillars hatching out from the eggs layed by moths in the garden soils. So even when you think you have gained control, keep an eye on things for several weeks. At the first sign of any damage, re-spray to help keep them from getting ahead of you.