@brianjakub,
Worms have actual sex organs. Whatever the type of worm, they can all do it.
That's because sexual reproduction dates from way way back, before even worms. If memory serves, sex as we know it was first tried by
corals, way before the appearance of any worm on earth. Corals are the most promitive multi-cellular animal species there is, and they practice sexual reproduction already.
Before them, unicellular amoebas are known to exchange their genetic material in time of stress. It's like proto-sex.
So it's not like one day some fish, some bird or some mammal started to use sexual reproduction for the first time and had to evolve some organ for it. Sex, as the practice of mixing up the genes of different individuals to produce an entirely new individual, was "invented" very very very early on, before there was any bird, fish or mammal, and it has been with us ever since.
Therefore, sexual reproduction and sexual organs evolved together, simultaneously. And almost from day one.