When there are 2 available moths of the same species the "fuse" button will be lit up when you select the moth, and you will be able to push this. A circle will appear around the correct moth in your forest and you should select it and they will fly together and merge. To fully fuse and level up a moth you will need to hatch the same moth 5 times - and fuse them together, and feed them the required amount of pollen until they glow blue!
Once they have been fully fused you will get a maximum coin harvest amount, and be on your way to completing an entire set.