I have a dozen adenium plants and on a few of them these mysterious bugs appeared this morning. It's winter season here, the current temperature is ranging between 7°C to 20°C (45°F to 65°F). What should I do about this bug?
They look to be aphids. You can squish them with a pinch of your thumb and forefinger (you do not need to squeeze so hard as to crush the leaf). Repeat every time you see them, until you don't see them anymore.
They are also easily jetted off with a spray from a garden hose, but I doubt you want to do this with an indoor plant. Most insecticides, including systemics will nix them, if you prefer the 'nuclear option'.
Agreed, its an aphid infestation, specifically what's known as Oleander Aphid, which affects plants in the Apocynaceae family (which Adenium belongs to) as well as Asclepiadaceae - more info in the link below, if you really want to know about it in detail, but if you've got neem or horticultural oil as a spray, that should work in getting rid of them. I suggest you check all your plants, inspecting the underside of the leaves as well as the tops, and deal with any aphids you find.
I agree they look like aphids - aphids come in a variety of colours, so you might not have seen this type before.
To control aphids, I just spray the plant all over with a spray bottle containing water and washing up liquid. I add a bit of salt too, but it is not really necessary. Make sure you spray the top and bottom of the leaves, and around the buds and so on. The aphids don't die straight away, but will be dead in a couple of days. You can just respray when you see more bugs, or do it on a regular schedule.