Gentle Giant caught a sawfly larva one day for us to look at. We took a picture of it, but it seems to have been mistakenly deleted. The sawfly larva we saw was green with a reddish head, like what you see in IMG_9778.JPG or IMG_4012.JPG or IMG_1703.JPG here.
I cannot find a free image of what we saw to post, but here are some images from Wikimedia of other types of sawfly larvae:
Here is a good article outlining how to tell the difference between a caterpillar and a sawfly larva: