Sprouts and Mealy Bugs

Are you sure they are mealy bugs - usually its the smaller but no less annoying mealy aphids on brassicas 

Either way, you can squish then by running your thumb over them, or if this seems too revolting, you can spray with a soap based insecticide or a pyrethrum based one. The latter is a plant extract. Both are contact insecticides which means it has to hit the critter to work.  Means checking the undersides of the leaves carefully and making sure you get the spray on them all