Ross: I only fish them under a float and they don’t' slip much that way. Occasionally I straighten them up as they get a bit bunched up but usually only after fifteen casts or so.
I wonder if the threader you use is too big? I use a small diameter needle. I also wonder if some leader materials are more slippery then others. I usually use Stren clear blue fluorescent for leader material. I almost always thread them the entire length of the worm but would think you might get less bunching if you only threaded 1/2 way though the fat end of the worm.

I will be curious to see what answers you get.