The worms come in this sawdust like material which I've read (and can confirm) is not harmful to your beardie. You still want to try to get most of it off, but its ok if there's still some on them.
You shouldn't have to worry about them crawling everywhere if they are in a container with smooth sides. A lot of people will put the worms in water to wash off the packing stuff but that's where you'll run into trouble because if the worms get wet then they can climb a LOT better!!
Other than that, there's not much else to worry about as far as keeping them.
As people have already posted, PW.com is the best place to get them. The worms are "fresher" since they're coming straight from the manufacturer (or breeder?) and I swear that PW.com over packs the containers. I've never received 400 when I ordered 400, there always seems to be a lot more.
Their customer service is outstanding and their worms are the best.
Personally, I'm grossed out by all bugs and worms but the PW's haven't really bothered me much. I'm sure you'll be fine with them once you deal with them for a bit..
If you do find your beardie is eating them too quickly and not digesting properly (whole worms in their poop), someone else here suggested poking them with a pin so your beardies stomach acids can get into the worm easier and help them digest. Seems like an excellent idea, albeit a slightly gross one.. :mrgreen:
HTH