Hi all, I've had success this winter keeping my worms warm and happy outdoors this winter, so I figured I'd share what I've been doing. I've never come across anyone else mentioning this method, so apologies if this is something y'all have already been doing.
The worms are in a 3x3x3 bin made of slatted wood, and whenever I feed them I add a few inches of loose straw around the edges, to keep the material surrounded on all sides by a bit of insulation. The worms primary food is our kitchen waste and the spent coffee grounds we pick up from the shop in town. Adding a lot of coffee grounds helps to heat the pile a little, but what I've found really effective is soybean meal, though I'm sure any other high N source would work just as well.
I keep a thermometer in the pile, and aim to keep the center around 80F. If I go to feed the worms and notice the temperature's fallen below 75, I'll add a sprinkling of soybean meal before I put the kitchen waste and coffee grounds on. The amount varies depending on the temperature, but it's not hard to play around with it a few times and get a feel for how much you'll need to add to keep it toasty in there for them. My winters are more mild than most (average nighttime temps in the low 30s ), but it doesn't seem that given a nitrogen source the bacteria have any trouble providing all the heat the worms need.
I also add a thin layer of chopped straw on top after each feeding, to keep the pile from getting too N heavy, and I suppose this functions as bedding to some extent, as does the straw I've got around the edges for insulation. I don't add any other bedding material, and there's still some straw left when I go to harvest from the bottom, but it just gets screened out and added back into the bin or some other compost pile.