The ideal material for worm bedding is coconut coir. It holds water very well, which keeps the worms moist, can be a food supply for your worms and is also a good carbon source. Dried bricks are easily purchased in the gardening section of garden stores such as Bunnings and Home Depot.
If fine and coarse forms are available, choose the fine.
Follow the directions on the pack to pre-soak the coir with water until it has fully swelled and is uniformly damp, but not dripping wet. The worms can be directly added on top of this pre-moistened bedding.
To save money, shredded (non-glossy) paper or newspaper is another option, but not as ideal for initially setting up bedding as it clumps together when wet. Any carbon material can be used as long as it is damp.