What an absolute pain this one was, or at least Challenge 20. This solution is aimed at Challenge 20, 1-19 aren't too bad, just trial and error.
Turn 1: Use your Ninja Rope to get to the top of the Igloo and Firepunch the guy to the right, over the barrel and into the water below. Make sure you walk left and drop on top of the Igloo 'Entrance' just to keep you a little more safe.
Turn 2: Use your Jetpack and fly around to the UFO (bottom right) and Firepunch the Worm to the right into the water again.
Those 2 can be done every time, and they're easy kills. I'd then suggest getting a worm to Blowtorch into the ice on the left-hand side, and another just to the left of the UFO.
Make sure you take as much time as possible, restricting the AI to fewer turns, thus fewer chances to kill you.
Try keep your Airstrike(s) & Homing Missile(s) until Sudden Death, they come in much more useful than if you use them earlier in the round.
By the time i'd got to Sudden Death I had 1 Worm inside the ice on the left, and one around the UFO, both untouchable from distance. I used an Airstrike on 2 of the 3 remaining Worms, followed by a Homing Missile on the final worm.
It's more a case of trial & error, and extremely frustrating. I attempted it well over 50 times. But be prepared to quit & restart if you fluff it early on, it's quicker to start again than to finish & fail.
Just keep at it, you'll learn certain AI moves (they generally do the same thing every time, though it CAN change!!!) so try hide your Worms and aim for Sudden Death . . .