The rose slug is not a true slug at all. In fact it doesn't even look like a slug... it looks like a caterpillar, and is green and about 1/2 to 1 inch in length. It's the lavae form of the saw fly, and is generally most active in the spring and early summer. Signs are leaves that are eaten from the inside rather than from the edges, often leaving a transparent paper thin covering over the holes.
On a scale of 1-10 I would rate this down at the bottom with a 1, as far as pests that you need to get rid of. Sure, they eat a few lower leaves, and too many could strip a plant, but I don't consider them as something that requires spraying my plants with toxic chemicals.
While hardware stores and garden centers might try to sell you sprays to control the rose slug, unless you have a bad infestation, it's really not worth doing any more than just picking off the caterpillars. They don't do a lot of damage, they generally target the lower leaves of the rose, and they will be gone in a week or two anyway.
But if you decide you want to get rid of them, look for them on the underside of the leaves. You won't spot them on the topside where they would be vulnerable to predators such as birds. A spray such as Shield™ will work, but perhaps consider getting a spray that also targets mites as well.
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