I have been buying wax worms mail order for 15 years. Started doing it because when kept at room temperature there is a very short shelf life so bait stores quit stocking them 1/2 way thru the ice season. I always buy worms from the local stores as well.
The hard part is finding a reliable seller. I have had to change sellers every 1 to 3 years because they quit selling them or you start getting ones with lots of dead worms.
I don't know the name of the seller, but I bought 500 wax worms for $17 from a guy on Ebay in November 2012 with free shipping. They arrived in 2 days. Were in excellent condition. This was a "Buy It Now" sale so he is in business selling bait.
I can keep wax worms for 6 to 8 weeks. I keep them in a small college dorm type fridge with the temp set at 45 degrees Fahrenheit. 500 waxworms is 2 plastic bins with 250 in each. When I get ready for fishing I dump a whole bin on newspaper and get rid of all the dead or dying worms. I think the warmth and air are good for the survivors.
As time passes the worms become less plump (drying out I assume), so I just use 2 on the hook. I would guess about 1/4 of them die during the storage time, but for less than $20 for 500 it is no big deal.
