They are oportunistic bottom feeders, so no, you don't have to feed them. They get their food from cleaning up the left overs around your tank. If you have an extremely clean tank, you can add zooplankton in to sustain them.
Actually it depends on a species. Odds are the pink cucumber is a filter feeder, pretty specialized.
Sediment feeders are different. Is yours on the rocks or glass...or is it on the sand?
You can not "spot feed" them either way, per se. If a filter feeder you need to dose the tanks with appropriate "filter feeder" food.