Yeah, if a moth is attracted to a plant it's going to want to lay eggs then the larvae eat the plant because... that's all there is to eat, they aren't going anywhere without eating their way there.
Often eggs are laid on the back side of leaves, so you might want to take a look, but some will be so small you might overlook them until the day comes that there's a worm in a pod.
Then again a moth might land and leave without laying eggs. It may take a season for you to know if your area has larvae that eat peppers. Around here there are a few tobacco/tomato horn worms I find on nearby tomatoes but they never touch my peppers.