"Went flying" and "flew" can have the same meaning, BUT "went flying" is more passive- it implies that something else made them fly across the gym. Since worms don't have wings, that makes sense. "Flew" can also be passive and have this same meaning, but "went flying" generally cannot be active- you would not say "birds went flying across the gym." However, "went xxxxing" also can mean that the person/thing had a specific event or activity for a period of time, eg, "went fishing on Sunday" "went swimming in his new pool." But it implies a plan- I'm pretty sure the worms didn't plan a nice afternoon of flying across the gym.