While playing survival, you get yourself a megatherium, head on over to the dunes, start killing yourself some bugs, use the orbital camera to search out a deathworm. It levels you and your mount SUPER fast. Then you can literally hunt down deathworms. By the way, a high level megatherium can kill a rock golem.... hint hint. Vote up so everyone can see!!
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.