It's easier than you might think.
If kept outside, it's just a matter of putting down some honey in the enclosure and waiting for the ants to come in. The devils will position themselves nearby.
If the lizards are kept indoors, then you get an old bit of termite mound, drizzle honey through it, place it near an ant nest/trail and when it's full of ants, put it in with the Molochs.
Are these the only molochs in captivity or are there others in Australia also? Does anybody know if they have ever been on exhibit at zoos outside of Australia?
As far as I'm aware, the only Molochs on display in Australia are in Alice Springs, at the Desert Park and the Alice Springs Reptile Centre. There used to be a Widlife Show at Yulara which I believe had reptiles, but I don't know if it still exists (or has molochs).
There is a Reptile Expo in Sydney each year and they usually bring down a Devil for display. I imagine other reptile shows around the country might do something similar.
On rare occasions someone will bring one into a city zoo (Taronga got a couple in the 80's/90's) that they "found in their luggage" - these lizards are normally repatriated back to the Red Centre as the ants they feed on are only found in central Australia and they just won't feed on other varieties*. For that reason, I don't think they have ever been displayed outside of Australia.
*There have been some claims that the lizards actually feed on more varieties than reported, and that they will feed on ants found in colder climates. Plus, I have an article in a very old journal (written in the 1930's) by a woman who kept a pair of Thorny Devils in Sydney for sometime, and said they readily fed on ants in her backyard. However, the article was not very scientific (and a little anthropormorphic).