Hi
Sorry about the delay in replying ...
Worms generally wander around a wormery anyway, and they do produce a lot of moisture which will accumilate on the sides - as normal condensation.
I am presuming from your post that the food and compost is in the inner bin, so it would be handy to create a barrier to stop them going downwards into the sump section.
Try some fine mesh cut to size, and hopefully that will help solve the downwards problem.
As long as the wormery doesn't smell (apart from earthy) then don't worry.
Just be careful that you dont overfeed and that you occasionally mix the contents to keep the air in it.
Ronnie