httpv://www.youtube.com/watch?v=D4l0KlHq5ig
Yes, this can happen. Check my previous post for how to prevent this.
1) Have the worm system full of material for several days in advance. Make sure you have damp, shredded cardboard as well as food scraps and some old vermicompost or leaves. Variety is good.
2) Hang a light over the system for several days when you add your worms. This will discourage them from climbing out the top.