Red Wigglers and other worms need oxygen just as much as we do. But, they don't own a pair of lungs so the only way they can get the oxygen they need to survive is through their skin.
Oxygen moves into their bodies through their skin and carbon dioxide moves out.
Please don't cut the little creatures in half to see if they grow into two worms. You'll just kill it. Worms are delicate animals and need to be treated with care. This is called regeneration. Before you know it, you will have more than enough worms.