When I was a kid my Grandpa had two worm boxes. They were bins made of some kind of asphalt impregnated fiberboard, about a yard on a side. Every Fall we'd go to a local cider mill and bring home a load of ex-apples that he fed to the worms.
I do not have a worm box, just a "garden" that I put about 6"/year of horse manure and sawdust (bedding) on. This really seems to draw in the worms (never any Nightcrawlers, just medium and small sizes); I always have lots of them there. Since it's a "garden," I water it during dry spells which keeps the worms near the surface.