I started worm-composting last fall, it actually turned out to be a lot of fun for me. I started off with just a basic DIY bin set-up, which is pretty much just a shallow storage bin or similar container with small holes drilled in the top and bottom, lined with a thin layer of newspaper. Then you can shred paper scraps, or cardboard scraps and mix it with a little coco coir and wet it all down pretty good, but don't drench it. Then you just add food and worms. You'll want to start off with at least a pound of red wigglers.....
...HOWEVER..I also aim for large amounts of worm compost so that I can use it for teas in addition to using it in my soilless mixes...so if you want have a good amount of compost to use FRESH on a regular basis...buy one of these
http://www.unclejimswormfarm.com/index.php/Outdoor-Composters/The-Worm-Factory-360-Free-Shipping/flypage.tpl.html
It's wayyyy easier to use...and you don't ever have to really sort through the worms because they just keep working their way up to the next bin every time you add a new one, and they leave the finished compost on the bottom. It also has a system so that the extra juices that leech out of it drip down to the bottom and can be drained by a spigot into your compost tea bucket. It's actually really cool, and really easy to set up and use. Now ALL of my food waste gets composted.
I think however, that you are under the impression as I was that what you are going to be collecting is similar to the worm castings that you buy in a 20lb bag for about $20..and it's not, it's actual compost and VERY biological. I don't use as much of it in my soilless mix as I do with regular worm castings. And I'm having much better results with my teas than I was when I was using worm castings as opposed to worm compost.