Feed 'em leaves of grape, virginia creeper or boston ivy.
Sphinx moths don't present any particular challenge but they're not particularly hardy either. So keep them well ventilated and undercrowded.
They pupate in soil. This this makes them harder to keep alive over the winter than cocoons or chrysalides. They need to stay moist but you can't let mold grow.
Sphinx moths are incredibly prone to parasitoids. You need to keep them indoors and behind fine mesh at all times. They also develop wilt and other bacterial diseases easily, which is why you need to keep them undercrowded and well ventilated. Once they start showing signs there's nothing you can do but separate them and take extra good care of the uninfected, and hope for the best.