A couple things chew on my citrus leaves. One thing is/are night-feeding caterpillars. Usually- but not always- Cut Worms. Take a flashlight and go out shortly after sunset to find them- sometimes you see their beady little eyes glinting back at you in the light.
The other thing is the Western Katydid-also known as the Mormon Cricket. Much harder to see and kill due to camouflage and their jumping prowess, though it can be done in daylight. Where's a flock of seagulls when you need one? Too busy singing Space-age Love Song, I s'pose.