I don't know if or where the adults overwinter, but I believe the eggs are laid in the shoots, and the larvae emerge in the spring. If they were in the soil then dormant oil would be of no use. If your rose is beginning to leaf out, as the ones around me are, then an application of dormant oil right now will harm the leaves. It is supposed to be of some use in controling sawflies though, when used at the right time (before budbreak). So it might be something to consider for next year (unless you're a lot further north than I am).

For now, handpicking of the larvae is quite effective if you are religious about it. Keep a tin of soapy water handy, and do a quick check as often as you are able, tin in hand. Pick the larvae off and drop them into the tin. Check the underside of the leaves.

The larvae usually show up in mid to late May around me, but they might be a bit early this year because we've been so warm.

BP