You need to hold in one of the clamp buttons first. For me it was A and D but in the main menu it says A and B so I don't know if something is wrong with my computer or if that was a typo. When you are holding down one of the clamp buttons that part of the worm will glue itself to the ground or whatever it is on. While you are in this state you should move with J or L to move closer to the goal/coins. Then you clamp again with the other clamp button. You can use this to climb walls and if you practise you can kinda jump with it by using your momentum.