Ask Mr. Smarty Plants

Jack Kelly and Mary Olsen in the Arizona Cooperative Extension publication, Problems and Pests of Agave, Aloe, Cactus and Yucca, lists the cactus longhorn beetle (Moneilema gigas) as a pest on pricklypear (Opuntia sp.) and cholla (Cylindropuntia sp.) cactus.  I am assuming these are the beetles on your cholla but the treatment solution would probably work no matter what the insects are.  Their suggested treatment is to hand pick the beetles from the plant.  This sounds a bit daunting considering the spines you would encounter on the cholla but you might try long needle-nose pliers or tweezers to grab them with.  Carry a wide-mouthed jar of salad oil (you could use old oil you have used for frying) to put them in.  This will kill them, of course, and you won't have sprayed nasty chemicals around to do the job.  You will probably need to do this over several days to get them all and then keep monitoring the cactus for new ones.  You can keep your bug-filled jar of oil and add the new ones to it and dispose of the bugs and oil in an eco-friendly manner when your jar is full or all the bugs appear to be gone.  (Don't flush the oil down the toilet or pour it down the drain!  See the City of Austin Water Utility's Stop the Grease Glob page for proper disposal methods.) Alternatively, you could use a jar of rubbing alcohol to drop them in.

Here are more photos and information on the cactus longhorn beetles.