Below is a video to help you get started in building a worm bin narrated by Marjorie Peronto with The University of Maine Cooperative Extension. There are LOTS of videos out there to help you get started. I agree with Marjorie that it is best to start small and go larger as your compost begins to grow. I always start my new bins with peat moss, a little sand and dirt, shredded paper, and some dried grass or leaves. After layering and mixing all this together, be sure to add water until it's moist. This could take a lot as the peat moss is very dry and will absorb most of the water. You want the dirt to be about the consistency of cooked stuffing or dressing. NOT soupy or like a cooking batter! It should not hold together well if trying to form a ball.
This is a great activity to do with the kids also. Not only are they having fun, but they are also learning about composting and gardening.
For a long list of what to feed and NOT feed your worms, visit the "Worm" tab above.
Good luck and have fun!