Thank you for your question, Rekha.  Here is a publication that should help you decide:  https://www.oregonmetro.gov/tools-living/yard-and-garden/garden-problems/azalea-lace-bug

Good luck!

Thank you for the helpful information. Can you look at the pics I attached and tell me whether my azaleas are beyond the point of rescue? 
Right now the entire shrub is badly infested. Should I do a hard prune now or in the spring? 

Thank you for sharing your expertise. 
sincerely,

Rekha 

If your only problem is the lace bug, removing the yellowed leaves won't solve the problem, since they'll probably return on new growth.  And, you can safely remove only 1/3 of the foliage, since a tree or shrub needs at least 2/3 of its foliage to remain to photosynthesize.  So, your shrub would still look unsightly.  The stippling on any remaining leaves will exist until they fall or are pruned off.

If your plant also has rust (https://pnwhandbooks.org/plantdisease/host-disease/rhododendron-rusts), I cannot diagnose it, since the rust spores grow on the undersides of the leaves, which aren't pictured, and should be diagnosed under a microscope.  (OSU Plant Clinic can do that:  https://bpp.oregonstate.edu/plant-clinic/submit-sample/how-submit-plant-materials)  Were these shrubs mine, I would try to get a diagnosis before removing them, recognizing that the azalea lace bug is almost impossible to "control", and that rust, if present, can only be eliminated if the alternate host (spruce) is removed within whatever radius the rust's spores are able to travel.  Hard choices.  Good luck!