Do moths feel pain?

There was just a fairly big one in my house, I'd opened my bedroom door to shoo out a fly that was buzzing around in my room and pissing me off before sleep. I couldn't catch it. But then I heard this strange flappy sound coming from outside, upon further investigation I spotted the moth furiously trying to escape from my landing, kept flying into the walls and stuff. I felt bad for the little (actually quite big) guy. Being manly and not scared of moths, I just tried to catch it, I had it in my hands once but it escaped. Then it landed on my forehead. Then I was struck by a moment of panic, this is my chance, what do I do now? How do I catch it?
Aha! Retreat into the bathroom, I'll have more chance of catching it there, if it flies off my face. But turn the light off, cause it'll go straight for it, I don't want him to burn to a crisp.
So I wandered around like a dickhead in the dark in my bathroom before finally pulling myself together. This was ridiculous, the moth had disembarked my face, gonna have to put light on.
Do I open the window and risk more pesky night creatures coming in? What choice do I have really?
The moth was resting on the window frame, tried to catch it again with my hands, failed. Moth flies back on my forehead.
Slowly open window, Slowly raise head towards open window, moth flies off into the night.
Success!!

In conclusion, I feel bad that he was flying into loads of stuff and just generally being flappy. I wonder if they do hurt themselves when they hit stuff?

P.s, I even managed to get the fly out of a different window.

Woooooosh!!

P.p.s, check this caterpillar out, it has spikes on top of spikes!