Worms move through the soil in search for food. When they burrow through the soil, they create small tunnels and loosen up the soil. This allows air and rainwater to reach all parts of the soil. Plant roots need to be exposed to air and water in order to grow, so a garden that has lots of worms is very healthy.
In your jar, you should notice the small tunnels and pathways the worms have created. The worms are looking for food - the oatmeal - and on their journey, they help mix up the soil. Keep the worms in a dark place and covered with black construction paper because worms like damp, dark places.