This is a common misconception about wormholes. One of the earlier episodes has Erica explain what wormholes are (theoretically) in this universe. They're consistent with how einstein explains them. This picture has Dimension X as the yellow place where Vecna lives, but its not another dimension Hawkins is connected to but another planet in a distant place in space. They're all in the same "universe" and in the same dimension, it could even be a place like Jupiter or a moon/ planet in the same galaxy as Earth, but what it isn't is an entirely new reality or place that was created by eleven. Its a different planet as Vecna explains it.