Consider the action of an infinitesimal rotation about the n axis of an angular momentum eigenstate ψnℓm. Show that
R^n(δ)ψnℓm=m′∑Dm′mψnℓm′,
and find the complex numbers Dm′m (they will depend on δ, n, and ℓ as well as m and m′). This result makes sense: a rotation doesn't change the magnitude of the angular momentum (specified by ℓ) but does change its projection along the z axis (specified by m).