I don't have a feeder, but I wouldn't be surprised if they did go to feeders.
After a little more research, I've determined it was a White-lined
Sphinx Moth (Hyles lineata), and not strictly speaking a Humming Bird
Moth (Macroglossum stellatarum).
http://www.npwrc.usgs.gov/resource/distr/lepid/moths/
usa/1066.htm
To make matters even more confusing, sphinx moths are also called hawk moths, and some species are often generically referred to as humming bird moths.
Sphinx moths were used in the creepy film Silence of the Lambs.