If you want to het a lot of deathworm horns, go to the northern duines. Use the orbit camera to look underground where they are. Then put some oil jars on the gruind and set them on fire. Get the deathworm into the burning oil and bite him a view times with a high level hunter, like a direwolf. Then run away. If youre in luck, it wont hit you. If it does hit you, dont let it hit you again. If youre just out of the reach of his attac, get your crossbow and set him with flame arrows on fire. Do this a view times. It should die fast. Do this with more deathworms and get yourself some black pearls and deathworm Horns.
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.