Melt butter in a large pot over medium low heat.

Add marshmallows and stir often until completely melted.

Remove from heat and stir in cereal until evenly coated.

Spray hands with cooking spray or coat with butter.

Form cereal mixture into balls. Press each ball onto a cone.

While cereal mixture is still soft, press worms all over surface of the ball.

Wrap the ball end of each cone in foil (or plastic wrap) and place in refrigerator to harden.