Ah, yeah, I think I reverse-engineered a store-bought squirmy wormy at some point. The secret to keeping the plastic on the hook is to tie it down with wire instead of thread! I'll do it slightly different every time, but usually the process involves wrapping the hook in thread and tying down a very long wire end under that thread. Then I'll wrap the wire on top of the thread, you can see that in the worm second from the top. I usually start with a heavy-gauge scud hook, and with the extra weight of the wire wrap it's usually as heavy as I ever need it.

So at that point I've got a securely fastened wire, so I'll cut the worm-plastic to length, lay it along the wire, and then do a second pass of the wire wrap to hold on the worm. So I'll put a wrap of wire around the worm at one end of the hook, and there's a certain loop tension which will hold the worm on without cutting through, basically flattening the plastic by half. Then I'll lift up the plastic worm and wrap underneath it, just wrapping the hook shaft, and make that loop tight. Then the next loop will be around both the hook and the plastic again at half-tension. Then the next loop is just the shaft but tight, etc. It gives that nice segmented look and lasts for a while. Eventually the perch will bite off the ends, but this may be the fastest fly I tie, so I always have plenty in the box.