Ragnarock - Go into ice cave and kill the weak deathworms there. Use a good shield to block their attacks and melee them with a sword, easy quick kills because they have so little health and they drop the same loot as a regular deathworm. Make sure to wear warm cloths.
You find these things in the open part if the desert in Ragnarok. You really just need a good level Thyla and you should be fine. There a bit overrated, trust me I used to live in the desert. Mantises are tamed with Deathworm horns.
On Ragnarok I had the 'best' surprise ever and encountered one not knowing what the heck was happening I was gathering meat from killing animals and noticed some dust following me I stayed to see what it was and a giant worm appeared and killed my pteranodon and me along with it
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.
Interestingly if you come into an assumed view range of a Deathworm a bug, Pune not intended, allows the Deathworm to be seen for a brief second, allowing one to prepare against either attack or attacking the monster.