One way to keep composting worms warm in the winter is to provide insulation. Insulation can be as simple as surrounding your worm bin with hay bales or as complex as attaching sheets of blue board insulation foam. Any way you choose to do it, providing insulation will help keep your worms warm. I transformed a broken chest freezer into a worm bin. It works great and has built in insulation! Old coolers work well too.
For more info on regulating the temperature of your worm composting bin read: Regulating Temperature in Worm Bin