Notice that there are a lot of thermal detonators on the sand worm level "t1_danger" (merchant rescue mission). You can kill the sand creatures with them. throw them somewhere away from other objects in the map (because the Sand Worms do not go where the rocks and other things are found). With about two of the thermal detonators you can kill the Sand Worms, providing they eat them. However they do not go away permanently, even if you kill all of them. Some can still respawn. Also, if you stand still on the sand in the level, the Sand Worms will not eat you (the NPCs are programmed so that they only sense your player or anything else when it moves).