Another pest that somehow made its way to North America from elsewhere
I assume you've read the suggestions, such as on this AHS page, to remove and destroy infested leaves. The AHS did fund some research into insecticides, including spinosad, but none of those tried was particularly effective.
http://www.daylilies.org/ahs_d...
For anyone interested, the study was written up in the AHS Daylily Journal of Winter 2014, pages 38 and 39.