Preheat oven to 375 degrees F (190 degrees C). Grease a baking sheet.
Mix together the Cheddar cheese, corn, olive oil, and self-rising flour to make a firm dough. Roll the dough out into a log shape, and cut into 16 equal pieces. Roll each piece into a ball. Cut the cocktail wieners into 6 slices each (there will be 2 extra slices). Pick out 8 almond slivers.
To make the grubs, place 4 dough balls onto the baking sheet, and press them tightly together so they make a lumpy grub with 4 segments. Place a slice of cocktail wiener on top of each segment for markings. Stick 2 little almond slivers into an end ball to make eyes. Repeat for the other grubs.
Bake in the preheated oven until the grubs are golden brown, about 15 minutes.