Destroy any eggs you can find and hand pick the adults, dropping them into a bucket of soapy water. Insecticides are generally not very effective against these wee buggers, and do more harm to their predators.

Here is a link that might be useful: Harlequin Bugs

I tried this and then confirmed it from another website: Spray them with a mixture of water and Dawn dishwashing liquid. You have to drench them directly so you might have to come back for another treatment, but it does killed them (by suffocation?). Labor intensive but not as bad as hand picking them off of the plant.

Dawn dishwashing "soap" is not an acceptable organic product. It is made from petro chemicals and is a detergent. An Insecticidal Soap made from Fels Naptha, Ivory, or a castile or other type of soap made by reacting animal fats with lye would be acceptable.

As Kimmsr said, they can easily be killed by dropping in soapy water. I also find that they're very slow, and if you go around with a wide mouth jar of soapy water, and hold it under the plant, you can shake and/or brush loads of them into it -- much faster than picking them off individually.