Welcome. This occasionally happens with a new bin. You would need to provide more info on the bedding and type of bin so someone can offer suggestions.
One thing is to leave a light on and they tend to stay put in a new bin.
Kath

It is a 12 gallon sterlite bucket inside a bucket of same size. I put screening over all the holes so they cant get out that way. I have some shredded paper that is moist not wet. I also have a banana peel in there.

I have a couple of suggestions for your bin. I would add some wet shredded cardboard and a handful of dirt to the bedding. About 1/5th of the bedding could be cardboard. To feed a new bin, I would mash some spoiled banana and other soft spoiled foods, place in a corner, and cover with shredded paper. When the worms start eating this, add a second pocket of food and so on. They like a really wet bin, so check it daily and mist when needed. You can use the search at the bottom to find additional postings about escaping worms. Hope this helps.
Kath

Comments:

All of the bedding can be shredded cardboard. It is my bedding of choice.

How deep is your bedding? 4 to 6 inches would be ideal.

Worms often have trouble adapting to a new environment. Leave a light on over the bin for a few days.

You need something to be decomposing in the bin. The banana peel will be good in a few days, but I don't think it is enough. What worms really like in a new bin is compost. Can you steal some from someone's compost bin? It doesn't have to be finished, just past the heating stage. Or dig down in a pile of grass clippings until you find the brown, crumbly stuff near the bottom. Or if there is a stable nearby, ask for some horse manure. That type of thing will keep the worms in the bin until you can get it established.

How much compost should I add to the bin?

Any amount you add to the bin would be good. Anything from a generous handful to enough to cover your bedding 3 inches deep. I started with enough dug out of a neighbor's yard waste heap to fill up a quart sized ziplock bag, and was soon back for more.

The more you add, the more you want to make sure it is well past the heating stage.

Put a light on over the bin. They won't go into the light, so that will keep them from wanting to get up and over the top of the bin.
Literature says that when it rains they want to wander, so make sure you have a light on over them then also.
Are you sure the heat isn't too high for them right now.
They will tend to wander when they get to a new place, so says the book.
I sometimes go to the back of the farmers market type of food stores and get stuff that is thrown away to feed them, so they'll be happy at home. Just make sure there isn't any insecticide or pesticide sprayed on them.
The places here won't 'give' you the garbage, as somebody once had some given to him under the guise of feeding animals with it and then he ate it and got sick and sued the place, so they don't 'authorize' you to use their garbage, but employees, if you ask them, will tell you when they are going to take out the trash vegitation, and where they will put it. What you do once the garbage is out is not their problem anymore. Just don't expect them to hand it to you though, or that could put them in a liability situation.
I've gotten alot of fruit and stuff that is on it's way to spoil that way. The worms love.
Also, if you top feed them, which I usually bury the food for them to keep away bugs and such, but if you top feed them you will want to keep a heavy enough cover, but not too heavy, but heavy enough so the light isn't getting to them while they feed.
If there's alot of vibration they may try to run also, so avoid areas that are too shaky, but they seem to enjoy california soil... :)

Have fun