I don't know why but it's usually a good idea to get your bin and
bedding set up a week in advance. Shredded paper for some reason is
harsh on worms when first moistened. In your case if you just bought
the worm and didn't have anywhere to put them, moisten soiless potting
mix or coir in a smaller, separate container would have sufficed. Let
them rest there a week while your bin and bedding settles then dump
the contents of the smaller container into your worm bin. Coir or
coconut husk can be found at plant nurseries, it's usually near the
orchid mixes.

Also take a look at this site: www.wormdigest.org/