Sponges are animals belonging to the phylum porifera. Nudibranchs are mollusks , a type of gastropod, like snails that have evolved howver to lose their shell. My best advice for you is to go to something called the Sea Slug Forum. I believe the webpage is
www.seaslugforum.com Here you can find wonderful color pics of almost every nudibranch on the planet as well as what they eat and where they are found. As i study nudibranchs at UC Davis i find this is a valuable resource. Another commonly unknown thingis that nudibranchs are toxic. They sequester toxins from teh food , generally lower inver types like cnidarians poriferans etc, that they eat. however they also sequester the pigments from these animals. As a result many nudibranch LOOK like what they eat in the wild. So my advice is dont go buying a bright purple nudibranch, because most likely it eats some sort of bright purple sponge, UNLESS you have bright purple sponge etc to feed it. This like all biology questions has exceptions to the rule such as with nudibranchs like hermicinda crassicorna, a common aeolid type nudibranch found off the california coast. Hermicinda is a generalist eater, both omnivor and carnivore alike. Some nudibranchs are even photosynthetic such as the commonly termed "dragon nudibranch" another aeolid type nudibranch common off the coast of japan.
Hope that helps.