There are several sawflies that feed on roses. The cool thing about sawflies is that, even though the larvae look like caterpillars, they are actually wasps. This is important to remember when selecting control measures. Yesterday I found rose sawfly larvae on the knockout roses at my house. They are probably the curled rose sawfly, Allantus cinctus. They turn up every spring on these bushes but never become a big issue.
This time of year if you see damage on rose leaves it is likely to be sawflies. Small larvae typically skeletonize the leaves. Larger larvae consume entire leaves. Scout for this damage and also for feces which are a sure sign of something feeding on your plants. Looking at plants from above it is pretty easy to see lightly damaged leaves. Especially since rose people tend to have a discerning eye.
If infestations are large a contact insecticides such as a pyrethroid or acephate can be applied. Conserve is also labeled for sawflies. Small infestations in home landscapes could be managed with horticultural oil or insecticidal soap. Unless you have huge populations and severe defoliation I would just let them fizzle out.