You made me curious enough to do some research...it looks like moths have quite a bit of fat too...but not as much as the worms/caterpillars do...
Be aware that these moths aestivate and need the fat for that...
http://szgdocent.org/resource/ff/f-arth3c.htm
"There they remain in suspended animation, living off the reserves of fat built up as caterpillars. The moths are more than 50% fat."
http://www.insects.org/ced1/aust_abor.html
"As a food, the Bogong moth was rich in fat, with the average fat content of the male's abdomens exceeding sixty-one percent and of females, fifty-one percent of their dry weight."
http://www.australianfauna.com/bogongmoth.php
" The moth's body is 60% fat and very nutritious."
Some butterflies are quite fatty too...take the Monarch for instance...fat is needed to be able to migrate...
http://www.kindermagic.com/backyard_bugs.html
"Fat, stored in their abdomens, fuels their southward flight of up to three thousand miles."
Aestivating butterflies are fatty too...
http://www.amonline.net.au/factSheets/oleander.htm
"The butterflies go into a dormant state in which they live on their fat reserves"
In contrast...some butterflies seem to be less fatty...
http://www.livescience.com/animalworld/060321_butterfly_fat.html
"the larva had nearly three times more fat than the butterfly."
http://www.sciencedaily.com/releases/2006/03/060320214642.htm
"butterflies experience a great loss in body fat during metamorphosis"
And this may be part of the reason why some butterflies are less fatty than moths...
http://library.thinkquest.org/C0110693/butterfly.htm
"In contrast with butterflies most moths do not have a functional proboscis. Those moths live off one's fat reserves, obtained during the larval stage."
So...it seems that the caterpillar/worm stages have more fat than the butterfly/moth stages, but some butterflies have even less fat than the caterpillar stages.
Bears eat moths to put on fat for the winter hibernation...so I guess if moth fat can sustain a bear we still better not feed too many fatty moths to our lizards...the trick is knowing which ones are contain the most fat and which ones don't?
http://www.food-insects.com/Vol5 no3.htm
"Composed of 72 percent fat and 28 percent protein, these flitting morsels are a better energy source, ounce for ounce, than deer meat or cutthroat trout."
Its been a learning curve!