Pretty much like a wooly bugger i.e. any way you want. I find they are best fished with a dead drift, but I know a guy who fishes a tandem of wooly worms 90% of the time and he dead drifts, lifts, strips, twitches, etc. Whatever it takes to get the fish going. The wooly worm is impressionistic of lots of things but imitates few things, so there is no wrong way to fish it.