A few holes in the leaves of any plant are often normal and of no concern. If the leaves are completely eaten that might be cause for concern. Cutter bees cut holes in some of the leaves of my Purple Leaf Sand Cherry and that does no harm to this shrub/tree.
You can however prune it, if it is getting out of bounds, about any time now. Each year I do some pruning starting with branches growing toward the center of the shrub and any branch growing across another, then any water sprouts (branches growing straight up), and any dead branches. Then any thing else needed to make it look nice.

Its winter moth Larvae. Almost 100% sure..

If it IS winter moth - what can I do to try to SAVE this lovely plant?

Should I prune? Are there other remedies to get the moths off of it and should I be worried about my nearby arborvitae azalea and rhododendron?

I would first look at the leaves more closely, especially the newer ones on the tips, if you find some leaves webbed together, open it up and you will probably find a little green inchworm. It probably won't die from the winter moth and honestly i have no idea how to kill these things as we are starting to get them here on the North Shore.... This site is good....

Here is a link that might be useful: Mass invasive species link...

I have examined it closely and cannot locate any small green inchworms...so I am not sure at all if this is a winter moth infestation...
The tree/bush itself seems to be okay, and from reading the link posted by weatherboss87, there is not much that I can do.

I just hope the Sand-cherry survives this.

It's usually quite a showy specimen and very healthy. It seems to like the spot right outside my office window and in part sun.
Thanks for the assist.

Thanks Kimmsr. Do you periodically prune your Sand cherry? I am noticing some dead branches in the center of it that need cutting back and now that its completed it blooming (and has been munched on so thoroughly!) Someof the reading I have done indicates a good pruning helps them keep their shape.
i have not owned one before and can tell its probably not native to New England.
I am wondering if this is a good time to prune. Conversely, I could wait a while and do it in June.

I do prune periodically, because this does grow new branches toward the inside, new branches that cross another branch, or it grows a branch that just is in my way. Since this is a fairly early spring blossomer any pruning should be after the tree finished blossoming but before it starts to set those buds (like July as I recall) so June would be a good time to do that.