If they looked like little ladybirds without spots they will be lily beetle and you need to check every day and squish any you find. Place a receptacle of some sort under the leaf before you try as they tend to drop off when disturbed.
Not sure what you can do now the leaves are all eaten except hope for the best but without leaves the plant will be hard put to it to build up its reserves for next year.

If there are still some leaves on your lillies have a look under the leaves and where the leaf joins the stem and if you can see a black sticky mess this is the larvae of the beetle which cover themselves in this goo. I use kitchen paper to wipe them off, then squish them.

Iused to grow lillies, but got fed up with the dreaded lily beetle, I used to use a pair of long nosed pliers to grab them and squash at the same time, if you,re quick enough, they don,t see you coming, lol, Derek.