...wonder if that means they always bite an artery rather than a vein so that the pressure from our own heart pumping keeps filling them up?
Arteries run deeper in the body than veins. It is therefore unlikely that the mozzie will "mainline".
Only female mosquitoes bite. They are attracted by several things, including heat (infrared light), light, perspiration, body odour, lactic acid and carbon dioxide. The female lands on your skin and sticks her proboscis into you (the proboscis is very sharp and thin, so you may not feel it going in). A simple way to describe the proboscis: it consists of a tube bundle inside a straw. Some of the tubes deliver her saliva that contains proteins (anticoagulants) to prevent your blood from clotting. She sucks your blood into her abdomen, about 5 microliters per serving, through another tube dedicated to that function. The sucking mechanism is continuous and can only be interrupted by the mozzie pulling out her proboscis.
If the mozzie is disturbed during her meal, she will fly away. Otherwise, she will remain until she has a full abdomen. If you were to cut the sensory nerve to her abdomen that tells when she is full, she would keep sucking until she burst. By trapping her proboscis, the same thing happens.
After she has bitten you, some saliva remains in the wound. The proteins from the saliva evoke an immune response from your body. The area swells (the bump around the bite area is called a wheal), and you itch, a response provoked by the saliva. Eventually, the swelling goes away, but the itch remains until your immune system breaks down the saliva proteins.
To treat mosquito bites, you should wash them with mild soap and water. Try to avoid scratching the bite area, even though it itches. Some anti-itch medicines such as over-the-counter cortisone creams may relieve the itching. Typically, you do not need to seek medical attention (unless you feel dizzy or nauseated, which may indicate a severe allergic reaction to the bite).
An interesting fact about biting mozzies is that their actions cannot pass on HIV because:
1) the mozzie actually digests the virus!
2) they do not ingest enough HIV particles to transmit HIV
3) their feeding and numbing actions take place through different "tubes" and therefore they cannot disgorge infected blood.