Here is what my rose bud looked like after I picked the beetles off. Left long enough, they eat the entire bud. I found them on 'Mr. Lincoln,' a hybrid tea rose. A Drift rose planted next to Mr. Lincoln has not been affected, at least not yet, but I think they feed on all kinds of roses.
The good news is that control at this stage is as simple as picking them off and destroying them. After I crushed the ones I found, I read that crushing female beetles releases the pheremone that attracts adult male beetles. So, in addition to being icky, crushing them is not the recommended practice because it is a siren call for the beetles in your neighbor's yard. The best advice is to pick the beetles off and put them in a container of soapy water. You can read more about Japanese beetles and how to control them in this article by the American Rose Society.
Thinking about Japanese beetles reminds me of what a complex thing the web of life is. In the grub form of its life cycle, the Japanese beetle is a favorite food for moles. Moles have been very active in our yard this year, tearing up the lawn and flower beds, so we use a trap to kill them. If left alone, I suppose the moles would do a lot to keep the Japanese beetle problem in check, but they do damage to the lawn and garden in the process. So by removing the moles, I increase the Japanese beetle population. I suppose that each action we take in the garden (and in life in general) is neither entirely good nor entirely bad but complex, affecting other organisms in a way we often don't realize. That being said, I can't think of one good reason not to kill all the Japanese beetles I can.