Step 1: Buy Worms. Google "red worms for sale" or "red wigglers" and purchase 500 to 1,000 of them (you can usually get 500 for about $25).
Step 2: Get a Container. Get several 5-gallon plastic buckets from your local co-op or grocery store. Make sure they have lids.
Step 3: Put Holes in the Buckets. Using an electric drill or a hole-punch, put holes in the buckets so they are well-ventilated.
Step 4: Add Peat Moss or Shredded Newspaper to the Buckets. In order to keep the worms and composting foods nice and dry, use regular peat moss that you can get at any hardware store (or shredded newspapers). Take a handful or two of peat moss and dump it in the bucket (or create a bed of shredded newspaper, and add water to moisten the paper).