If its still cold where you are at I would just wait spring will be here soon I hope(:
When you by them they come in cloth bags like a flour sack material with moist bedding included they usually ship them priority mail

try your local yahoo freecycle group you may be able to pick some up for free from someone who lives in your area

You can also try vermicomposters.com to find someone in you area willing to share.

Here is a link that might be useful: find worms in your area