It looks like the larve of the swallowtail butterfly. These are very common on citrus plants. Pick off any you see as they love citrus leaves. If you have a large amount a pesticide is in order to attain control.The swallowtail caterpiller is the 7th picture down in the link below. Here is a link that might be useful: Caterpiller pictures

Are these at a point that is causing enough damage to be of concern or are some present. Keep in mind that Neem, and most all other insecticides, will kill off the beneficials as well as the target pests and can cause more problems later. A deterrent, such as Kaolin Clay, may be a better choice initially than even something like Neem Oil products. kimmq is kimmsr

Difficult to tell for certain. Possible true bugs (Hemiptera). Suggest you flick each and everyone into soapy water asap. Where do you live?

Those are aphids. If you don't use insecticides, natural predators such as lacewings, ladybugs and hoverflies will show up later and reduce populations. Meanwhile, if the aphids are overwhelming the plant, you can knock them off with your hands or a good spray of water. Your young Ping Dong Yue Ji rose would benefit from a good shower. The water will also wash off the aphid's sticky "honey dew" that can attract ants. The white objects are aphid carcasses. I don't worry about aphids as much as I used to. I want the beneficial insects well fed so that they will reproduce and take care of the thrips that arrive later in the season.