You will have to search for them and either squish them or get rid of them another way as they will eat your lilys

Irene is right, the best way is to do a thorough search as often as possible and squish any that you find.

Before you start looking for them, put a piece of paper on the ground all around the lilly, as you approach them they tend to drop to the floor, and lie on their backs, as they're black underneath this makes them hard to see, but you can see them on the paper, and look also for the grubs in what looks like mud, this is actually excreta, and is what the grubs live in,{disgusting I know}, but if you don't get these you will never win.
Also I believe there is an insecticide now available for lilly beetle, look in your garden centre, but I think the old method works best, Derek

Also you have to be quick or they fly away and come back after you've gone! I didn't know this until one did.

If you don`t mind using the chemical method the product you need is Provado Ultimate Bug Killer.Follow instructions on bottle.
Look on the underside of the leaves for the grubs Derekm mentioned and remove them .
Beautiful looking things in adult form,but so,so destructive.They will even let out a squeal to warn others of danger if you approach them...that`s where the paper can come in handy.. they too will fall to the ground upside down.
If time and vigilance is against you PUBK will settle your undoubted anxiety...it really does work.

Clever little beasties aren't they?!!