I have heard they won't survive the freezes outside and have not tried myself.

I've got a book on worm composting and they claim they will survive providing they are in a container that allows them to burrow down into the ground. Like a cinder block encloseur. They won't be nearly as active during the winter.
There is a Worm Composting forum on the Garden Web. I'd think someone there could give you more info.

Hi PK!

What type of worms do you plan on growing? If they're the ordinary compost worm (redworm) they won't survive the winter.

You can however compost indoors. It's a pretty amazing hobby (for me).