Hi KathrynH! How exciting, you've got a wormery and lots of new pets!!! :D What type of wormery have you got? I have had a Can-O-Worms for many years now, and find the worms survive the cold fine if you add plenty of cardboard and shredded paper , even some autumn leaves if you have them, to the top layer where they feed. It all slows down over winter, so don't add too much kitchen waste or it'll go off before they can eat it. I find corrugated cardboard and eggboxes are best-they wriggle into the little spaces.
I have an old hot water tank insulating jacket (courtesy of a Freecycler) round the wormbin, plus a top layer of cardboard secured with a plastic binliner to keep excess rain off. They all looked fine yesterday, and it was -3 here!
I agree with Jellied, its often the hot weather that kills them, not the cold...not that heat has been an issue for the last year or so...lol!