When nano-magnets are coupled to random external sources, their magnetization becomes a random variable, whose properties are defined by an induced probability density, that can be reconstructed from its moments, using the Langevin equation, for mapping the noise to the dynamical degrees of freedom. When the spin dynamics is discretized in time, a general fluctuation-dissipation theorem, valid for non-Markovian noise, can be established, even when zero modes are present. We discuss the subtleties that arise, when Gilbert damping is present and the mapping between noise and spin degrees of freedom is non--linear.