I would like to prove that the compounds which will be trapped, come out exactly from a specific gland located in the head of the first instar larvae of the moth.
It depends. For if you know the chemistry of the compounds that this specific gland secrets you can make cephalic extracts (extract the whole heads) and analyse same as cephalic extracts. Or if the gland can be exercised easily, you dissect it out an extract it. We use similar approach for mandibular and tergal glands from honeybees.
At one level I am guessing that you have a nearly impossible task given current analytical techniques. The quantity of chemical present is so small that you need to collect at one spot for several minutes (hours?). That will require immobilizing the insect, and this will induce a stress response and possible a starvation response in such young larvae.
Try using a laser to ablate all but one gland, then collect volatiles. Do this many times and with enough larvae you will get sufficient sample (I hope).