Sugar's Melting Point Too Low
Gummy worms are composed mostly of sugar (or, more specifically, gelatin, glucose syrup and sugar), which has a melting point of 320 to 367 degrees Fahrenheit. Because brownies are typically baked at 350 degrees for around 40 minutes, there is no way a gummy worm would retain its shape or form when baked inside the brownie mix.
Add Them Later
If you are insistent on trying to make brownies with gummy worms in them, it is best to add the gummy worms at the last possible second as the brownies begin to solidify, thus not subjecting the worms to the full 40 minutes of baking time. However, sugar's melting point is so low that the gummy worms still will not totally retain their shape. Moreover, adding gummy worms at this point in the baking process will give the brownies a lumpy, misshapen appearance.
Though gummy worms make great decorations for the top of prebaked desserts, there is no way to bake gummy worms into brownies without the gummy worms' losing their shape and melting.