How deep do worms go in winter?

It depends on the insect. Some insects such as mosquitoes/dragonflies/damselflies can spend their larval stage in the water of ponds and streams. Adult forms of insects such as ladybugs will seek shelter under rocks, loose bark on trees and inside the walls of houses. Other insects such as Monarch butterflies can fly hundreds of miles south to spend the winter in Mexico, and return back to the U.S. next spring.