I haven't had any luck with worms taken from the outside. They die in my bin. Once you have your worms, you'll need bedding for them. The purpose of bedding is to keep an even moisture level as well as to allow air to reach the worms. Therefore, you don't want something that's going to pack down.
Newspaper is one type of easily available bedding.
However, I found that it formed lumps in my worm bin and the worms didn't seem to eat it. I have had the best luck with shredded damp leaves. Whole, fresh leaves are very tough and don't absorb water well. This makes it a lot harder to control the moisture level. I use leaves that have been laying around outside for a while.