The immature stages of Calydna sturnula, from the second instar onwards, are described and illustrated from tropical dry forest in the Area de Conservación Guanacaste in northwestern Costa Rica. The foodplant in all cases was Schoepfia schreberi (Olacaceae). Only six of the 219 individual caterpillars and pupae collected during the last 15 yr were parasitized by braconid and chalcid wasps and a tachinid fly. The larval ultrastructure of C. sturnula was studied by means of scanning electron microscopy, with emphasis placed on their prothoracic balloon setae, rare structures in the Riodinidae. The occurrence of larval and pupal balloon setae in the Riodinidae is reviewed. Larval balloon setae are currently known from all three genera of the Helicopini, at least Calydna in the incertae sedis section of the Riodininae, and at least three genera of the Nymphidiini. Larval material was examined for all but one of these genera, and the macro and ultrastructure of their balloon setae are described, illustrated, and compared. Pupal balloon setae are currently known only from Helicopis and Calydna. The balloon setae of Calydna and the genera of the Helicopini are found to be more similar to each other than to those of the Nymphidiini genera. Because balloon setae occur in nonmyrmecophilous (such as Calydna) as well as myrmecophilous species, we hypothesize that they are used to store and disperse a noxious chemical when the caterpillar or pupa is grabbed by a predator, rather than to facilitate a symbiotic relationship with ants, as previously suggested. Internally, balloon setae are filled with a spongy yellowish material that consists of a dense latticework of tiny strands. We suggest that as these strands enter the otherwise hollow external acanthae, the acanthae discharge the noxious chemical when the balloon setae are squeezed.