Hippodamia sp. - Larval Ladybug - Taken at Smith's Bird Sanctuary, Roswell, NM USA. -
This strongly resembles both genus Hippodamia and Coccinella, but no Coccinella larva has orange dorsal tubercles on the 4th abdominal segment. There's no key to Hippodamia larvae so I can say for sure what this one is, but in your part of New Mexico, there are only three species: H. convergens, H. parenthesis, and H. caseyi.