Hi there, you have the Azalea-caterpillar, the adult moth is called: MAJOR datana. This larvae feeds on Azalea,Apple and Blueberry. The bare pupa overwinters in soil.. Greetings Susanne(SUE)
Susanne, you've got the Latin name turned around....it's Datana major. :-)
These busy little pests turn into a rather plain brown moth, sodbuster. But regardless of that fact, if you value your azaleas, you had better get in there and remove those eating machines!
They won't sting or bite, so just pick them off and fling them somewhere where your lazy birds can manage to find them.