I live in zone2b (subarctic) and all we have is nightcrawlers. My grandpa used to throw his left over bait into his garden beds, that's where I find many of them.
I started vermicomposting last year around this time, with a bin of worms to foster. I'm now up to 3 bins after giving away a few bins full of worms and their castings to others.
I keep mine in my basement to compost for me year round.
Out of everyone who got a free worm bin from the school to foster, mine is the only survivor and is thriving.
You could build an outdoor bin, but would have to insulate it well, if you get a lot of snow like we do and -50c, I would just keep them indoors.
I want to start up a worm composting facility here. Get paid to take people's food "trash" and make it into a great product for them to use in their gardens.