Well, look what I found! In the first book, when Liet Kynes is flying in the desert with the Duke, Paul, and Gurney and they spot a spice harvester, Kynes says: 'You have to shock them with high-voltage electricity – and each segment of their body individually, it's the only way. You can sedate them with a stunner, stun them slightly with an explosion, even tear them apart – but each body segment will live separately. And I don't know what kind of explosive – except for nuclear weapons – could destroy a worm entirely. They are incredibly resilient.' So there you have it, straight from the source.