You just need a plastic bin with some holes in for ventilation and then chuck in your compost as normal. If you want big, fat juicy lobworms then put in lots of soaked and shredded newspaper. Makes them grow ginormous and they breed better in wet newspaper; ideally just get four or five sheets and rip them together and then soak them with a watering can and chuck them in and stir it up a bit. You want a few layers of newspaper at a time stuck together with water for the worms to get stuck into.
If you need to find worms, then you will need to go worm snatching. Take a dim torch onto a mown field, cricket fields are best, in the late evening when the worms come up to socialise. You will have to grab them quick as they usually keep the foot of their tail down the hole for a quick escape. Dont fight for too long with a worm, it will break and one broken worm will kill all your other worms. One chap relayed to me how he had been out worm snatching one night and been so intent on his task that he virtually stumbled into a courting couple, who had apparently been watching him creeping, crouching and pouncing around the empty field at 10pm for some time. His explanation did little to allay their suspicions that he was, indeed, quite insane.
Good luck.