One of my favorite activities when I'm on a birding trip is seeing the moths that are attracted overnight to a white canvas with a light. There's so much life in the world that we never see - and I'm not even including the microscopic ones - just because we are basically diurnal. I was the only one who took advantage of the opportunity on last November's Costa Rica trip (Pat, you probably know the location - Rancho Naturalista) - what a variety the guide and I saw. My pictures weren't that great, since it was pretty low light and I don't have a steady hand, and of course I didn't have much luck IDing them, especially the carpet moths.
How do you get them to sit on your finger? Was it cool enough that they were enjoying the body heat?
Basically, the setup was effectively as you describe above ... white sheet on the ground, MV lamp above it on a tripod powered by a generator. Soon brings the moths in.
In the case of some of the moths, once they settle, they're tame enough to coax onto your fingers for a photo shoot. Others (Large Yellow Underwings spring to mind) behave more like kittens on catnip chasing wind up toys.
Though Large Yellow Underwings are among the exceptions when covering the Noctuids. Most of the Noctuids, once they've got over the initial shock of bumping into an MV lamp, settle down pretty quickly and become quite tame. On the other hand, the Oak Beauty surprised me a bit, because several Geometrids are a bit skittish, and this one wasn't. However, the one species that is an utter pain to capture on film is one of the day-flying moths - Hummingbird Hawk-Moth. That one is
relentlessly active on a good sunny day, and even if you have a large Honeysuckle bush to tempt it to stay in one place, it darts from flower to flower like a racing drone on acid.