Well, I never really cared for cocktail sauce at all...but I'd say neither one in this case...I'd hate to lose the flavor of the worms by covering it with anything like that.
They'd probably be best covered with caviar actually, or maybe an escargot spread.
Man, I just keep getting all these ideas handed to me. They might smell terrible, but if I charge enough money for them, and have them made in Europe so that I can import them...then they will be in every limo in America right next to the Grey Poupon.
Mike