you get frozen bloodworm, so freezing live one's is the same. just don't keep them alive for storing make sure they are frozen/dead or they will turn into mossies.
It's a bit pintless paying for live bloodworm & then freezing it - might as well get the cheaper frozen sort in the first place.
You can store it, in it's bags, in a cool dark place - the salad drawer in a fridge. Or you can feed the fish their normal food, then add the bloodworm & they'll eat a few but the rest will live in the tank until eaten.
IME if you feed live bloodworm to hungry fish they will gorge themselves. Feeding first takes the edge off their appetites.