For people who have seen Upstream:
I think the worms represent a religion or belief system if you will. They are implanted into these people who blindly follow it and give all their money to it. Walden represents their spiritual text (ie: the Bible or Quran) and they transcribe it and memorize it. They then break free of this worm by visiting The Sampler who moves the worms into pigs, in an almost ceremonial way. The pigs are like their former selves that The Sampler (maybe God?) uses to stay connected to them. If this sounds odd, it is, but that's the one issue with films like Upstream Color... they're so vague that they lead you to infer your own ideas into the fold. Is that a bad thing? Is it lazy film making? Who knows. I enjoyed it though.
@evan - I agree, really liked it a lot. Definitely one of the best films I've seen this year.