They are the larvae of the lily beetle and they do cover themselves in their own dung. You'll either need to use a pesticide or done latex gloves and remove and squash the repulsive looking things. They can decimate your lilies.

Hi, I expect they are the Lily beetle, as explained on the following RHS website.
http://www.rhs.org.uk/science/plant-pests/lily-beetle
I have seen the adult on one of mine, so I expect I shall have an infestation sometime!

They are revolting no wonder the birds dont eat them!

We have the same on our lilies. I leave the potted plants to the wife to look after, and when I spotted them I told her what they were and to get them off and squash them.
Came back an hour or so later to see every leaf on the lily gone!!!
Suppose that's one way of getting rid of them.

That's why they cover themselves in their own dung Irene.

Clever insect bahaviour.

Yup...