Unfortunately, you are going to have to find the larvae in order to get rid of them.. and depending on what type of Moth it is, that could be anywhere...

Unless you are really anal and can tear apart your room to find them, I would suggest pest control.. Once an insect gets in and starts laying eggs.. its really difficult to stop the cycle.

I had a problem with ants a few years back and it took several months to finally get rid of them...

Good Luck.. insects are a pain in the rear-end.