When building your worm bin you want to start with a layer of bedding.
This could be dampened shredded paper or egg cartons torn into small pieces and dampened.
Straw is also an option, however, it doesn't hold moisture as well as paper products.
We like to tear up tiny pieces of egg carton or shredded paper (black ink only) and add that to the bottom of our food scraps collection bin. It will help absorb any moisture as you're gathering scraps, and it will be helpful adding to the bin when you're ready to add your scraps.
See post on what to avoid feeding worms.
To learn more about vermicomposting take a look at the post A Guide to Vermicomposting.