Id say you're honestly halfway there!!! Top half hard shell that flexes in the x/y axis for aesthetics that goes over a bottom harness that can both articulate up and down with servos (like your worm) as well as some kind of "wave machine" that goes on each segment for locomotion. I have a snake and this is the best way I can mechanically describe it's movement. Its as if it uses the ribs/muscles to ripple under its scales to pull itself along. This movement requires downward pressure - which is achieved by gravity or by its other muscles that squeeze the rippling muscles onto the surface. You might be able to create something that that "ripple movement under a skin like surface" using silicone and a chain with variously sized segments that look like a wave. Or perhaps get crazy with it and make an intricate array of tiny robot arms that simulate the same wave movement locomotion. If you're a glutton for punishment, I can imagine either of those wave-movement ideas would be a pain to make it work. The chain idea would only work if there was adequate lubrication on the silicone "skin" and the micro robotic arm problem would just be tedious as hell.
