Depending on your climate, you may be able to keep a bin of red wiggler compost worms outdoors during the winter. My larger bins are kept outdoors here in Surrey, BC since we have mild coastal winters. However anything under 3 feet deep gets either insulated or moved into the shed. Even with insulation, outdoor bins will slow down in the winter as the worms become less active.
One of the advantages of worm composting is that you can keep a system indoors so that you can compost year-round. In many areas of Canada, a worm compost bin must be moved indoors in winter so it doesn’t freeze solid.