Thanks guys for the info. From the peanut link I can tell you that this is definitely not a peanut worm that we have here. Does not look similar at all.

It might not be a pest, could be completely unrelated to the polyps that were disappearing off that zoa colony. But, since I found three of them on there when I dipped that colony a couple of weeks ago (no further polyp loss has been noticed since the dip) and now I have seen one clear across the tank on a different zoa colony that is thriving... I thought I'd better ask to see if anyone can tell me for certain what my new little creatures are.

I would say that it is not a brittle star either, because all the brittle stars I've ever seen have more legs than that. These have only the three legs and a distinctive set of antennae feelers near the head/mouth area.