"Unlike other thrips, pupae of chilli thrips are generally found on leaves, leaf litter, or on the axils of leaves, in curled leaves, or under the calyxes of flowers and fruits." (James A. Bethke, UC Nursery and Floriculture Alliance.)
Affected plant parts should be pruned, bagged, and placed in the trash, along with leaf litter on the ground below the plant. Because chilli thrips build up an immunity to pesticides fairly rapidly, alternate spraying of spinosad and soapy water or hotricultural oil can reduce the population. (LSU Agriculture)
When you prune your roses this winter, be sure to strip of all the leaves and clear the ground beneath your bushes. Chilli thrips can overwinter in the litter on the ground.