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Sandworms can be killed!!
Well enough so as they go away!!

When a Sandworm appears, move all your units on the concrete (base terrain)!
The sandworm should stop moving!! or may chase the enemy!!

If it stops then you can easily target it with your tanks! when it get below half health it disappers!!
If it is too far away to target, entice it close to the edge of your base by moving just onto the sand, hell move closer, then move back onto the solid terrain before he eats you!!!

Now kill IT!

If you know where they are at the start of the game, you can go find them, lead them back to base and kill them!!

I think some levels have two worms!!