When your worms arrive they will likely be pretty thirsty. Mist them down a bit with a spray bottle and place the worms, with what they were shipped with on top of your bedding. By laying them on top of the bedding and giving them the choice to burrow into it or not wil let them communicate to you if they like the bedding or not. If they don't go into it after 30 minutes to an hour, chances are they do not approve of the bedding and you may need to try another bedding.
Then place your worm bin directly under a bright light (Do NOT use sunlight). This will encourage the worms to bury down into your bedding.
For the first night or two it is a good idea to keep the bin under a bright light to encourage the worms to stay in their bedding. My first night after having set up my worm bin I awoke to several worms on the floor!
Sometimes worms, when introduced to a new environment, will want to wander - and you don’t want that! Another reason they might wander is if they are unhappy with the bedding. But, if you used coco coir, there is no reason that your worms should not be happy in their bedding. So just keep a light on them for the first couple nights.
Anytime past a week or so, if more than just a couple worms are trying to escape, you should NOT force them to stay in the bin. They are likely trying to leave because conditions are unfavorable for them and might be killing them. Instead, try to identify why they are not happy with their bin and see if you can fix it.
After a few hours your worms should have buried into their new bedding and rehydrating themselves. You can do whatever you’d like with the material they were packed in. Remove it, mix it with the bedding (after hydrating it).