Easiest way to find, find the main cave exit to under the ragnorak castle, go down as deep as the massive cave goes. Add generators and lights down there took me about 3 hours to do. But they're down there for sure. Glow sticks tend to work somtimes for drawing them out
Since everyone else's tips are stupid. If you want to find a deathworm, you can use k mode and look underground. If a worm is nearby, you will see it's body. You can use a land mount like a thyla or a flyer like the wyvern. If flying, point the flyer downwards to make controlling easier. As for fighting it....use whatever dino you have. Rexes are great, wyverns too. Wolves are effective against the worms as well as the alpha to. If you plan to live out on the dunes in SE, be prepared to have random encounters time to time. These worms CAN destroy thatch-stone-adobe. My solution was to just use my rex army but wolves work great early game.