I have never seen any of these before. In all my times in pruning and clearing Buddleja out of customers gardens, I have never encountered any of these.
Called the Mullein Moth Caterpillar (Cucullia verbasci). The name verbasci gives a clue of what it normally likes to eat, namely verbascums or mullein, followed by buddleja.
They normally inhabit the Southern county areas of England. But I suppose the global warming, and lack of severe hard winters, has it further north.
These ones were found by pure accident, whilst looking at our dwarf buddleja in our front garden. As some of the soft shoots had bent over.
I shall not go through any pest control measures, as I do not think they affect any fruit or nut trees.