Yes the worm shafts have ball bearings on each end. Usually the bearing on the end of the shaft opposite of the coupler slides on and off the shaft. The bearing on the coupler end (rear) is kept on the shaft by the coupler. When you order the worm it includes that rear bearing. The front one is a separate piece. Pat, @harmonyards, should know the size of the bearing MTH uses. I had it written down but can't locate it right now. It's around 8mm, if I remember correctly, and is flanged on one end.
If you have the rest of the wiring in that bag, including the tether connector for the locomotive, you might just need a MUX board and PS32 board to make the thing fully functional.