The reference is to an In Flames song. The lyrics are:

"The Cold Worms and me."

The phrase "worms!" became sort of an inside joke amongst the band, just because the vocalist from In Flames screams it in a cool way. I started thinking about it, and decided that something along the lines of either "Coldworms" or "Coldworm" would be the perfect name for the group.

Thanks. I'm confident that we've found the best possible name.