I tried to grow lilies in my garden and was infested with these. I think they are the larvae of the Lily Beetle. They disguise themselves in their own faeces . The larvae actually grow into stunningly beautiful red beetles (you may see some of these on your plants as they are very brightly coloured).
Thank you for your reply. I have now looked up Lily beetles and I think that is what they are. Taking another closer look I can see some red colour. They are already all over my lilies so I will leave them there and watch them grow into adult beetles
The only problem with lily beetle larvae is that they will cause a lot of damage to the plants. When the larvae are fully grown, they will burrow into the soil and turn into pupae. They will later hatch into the bright red beetles I mentioned before. So, do not worry if they seem to 'disappear', they are just pupating.