I was being (partially) facetious above, but you do need to give them a temporary home with food and water. Keeping them in a fridge will slow them down, but it won't save them for very long. Many will die in transit even in cool weather. The others simply eat them.
This is the type of bin I use. They say it doesn't smell, but my wife and daughter forced me to move it from the basement to the garage. Some people....
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If you want to build something, get a milk crate and put a pillow case inside of it (doesn't have to be a pillow case, a burlap bag or anything breathable that you can tie will work), add a lot of shredded newspaper and moisten it (don't soak it. Add worms, cover with more paper, then add a melon sliced in half with the cut ends down. Then a little more paper, and tie the bag at the top. That is important because the worms will try to crawl out. This won't last forever because the worms will eventually eat through the bag. If you keep a light on it will help; they don't like light.
But it will keep them alive as long as the temps aren't too extreme and you keep the paper moist and the food available.