I actually just started looking into vermicomposting myself over the last summer and got mine set up.
Unfortunately, you won't be able to collect worms from the vacant lot next door. The reason is because the type of earthworms you're going to find in the ground are not composting worms. They're a type that likes to live a solitary life, running around tunnels they've already created, eating bacterial they come across. When you put them in a shallow composting container, then they'll end up dying pretty quickly.
There are actually a couple of types of good composting worms. They are the preferred Eisenia fetida (commonly known as red wiggler, brandling, or manure worm) and European Nightcrawlers (Eisenia hortensis / Dendrobaena veneta).
The red wrigglers are the best, because they work the top 18" or so of soil and like to be piled on top of one another. These are the ones that you'd see "eating" food scraps. They're actually eating the bacteria that are breaking it down. The European Night crawlers don't pile on top of each other like the red wrigglers do, but they go deeper. You could mix the two types in a deeper bin.
Luckily, it's not hard to find either one. They're often sold as fish bait and you might be able to go to a Walmart or gas station and pick up some worms. Just make sure they are European Nightcrawlers and not Canadian. Also, make sure the red wrigglers are Eisenia fetida.
If you can't find them there, you can order 1000 of them from UncleJim'sWormFarm.com. That's where I got my starter batch. You can easily start with just a few worms and propogate them up to a lot. They're self regulating based on amount of food and space.
Also, if you want a lot of good information, go to redwormcoposting.com That's where I learned a lot.