Place milk in a 3 quart sauce pan and set over medium heat so that it starts to scald, but not boil. In the meantime, add cocoa, sugar, and salt to a medium bowl and whisk together. Add cream and cornstarch to a 2-cup measuring cup and whisk together.
Once milk is scalding, turn off heat. Add ¾ of the milk to the heavy cream mixture. Whisk together to loosen up any clumps of cornstarch. Then, add to cocoa mixture and whisk together until smooth. Add to the rest of the milk in the sauce pan and set back over medium heat.
Stir pudding occassionaly as it heats up and thickens. Once it starts to bubble, whisk to thicken it up. Remove from heat. Add chocolate and let it sit for 5 minutes so the chocolate can melt. Stir together with vanilla extract. Let it cool to room temperature and then scoop into 6 cups. Chill pudding for about an hour.
When ready to serve, top each pudding cup with 4 gummy worms. Then, crush the Oreos and top each pudding cup with a couple tablespoons of crushed Oreos. Serve immediately.