I had these last year and picked them off every day as they feed on the plant and will spoil the display.

This is the dreaded lily beetle. Definitely pick them off every time you see them and destroy them by crushing between thumb and forefinger. As they usually drop to the ground when you reach for them, place your palm UNDER the leaf or stem they are sitting on to catch them as they jump off.
Also, when they've been active, they will already have laid eggs. Look out for horrible black grubs which look like bird droppings. Wash these off or if you can bear to do it, scrape them off with your fingers and crush them.
Lily beetles will eventually completely destroy your lilies if you ignore them.

Just make sure it IS the lily beetle before you kill them off! There are otehr red beetles...

yes MG is correct there is the red headed Cardinal beetle that does not eat lilies. Lily beetle is about 1cm long and its wing cases are dimpled like a golf ball. It has a black head too.
I wonder how many 'wrong' ones are getting squished?

Far too many I suspect SBG

same with the harlequinn ladybird. A bloke at school kills all ladybirds he sees as he thinks they are all the 'invader'. Doesnt matter how often I tell him they still eat green fly he still squishes/sprays them.

I agree that it's best to know what you are dealing with before killing it, so catching one and identifying it on the Internet is a good idea. However, if you see a little red beetle on a lily plant, the chances are it IS the lily beetle, and if you leave it, you will have to deal with all the eggs and grubs,
It's easy to give others advice, and not do it yourself, as I just discovered a clump of lilies in a corner of the garden completely wrecked by the beetle and covered with grubs. I hate the little things as much as I hate the asparagus beetle.

I am thankful we do not have them this far north - yet!