Ghost Shrimp help -parasite?

Yes they are most likely worms. Checkout this thread for more info and pictures. As pointed out in several times in this post, these types of parasites use inverts as a host, not fish, animals, people or plants. As gross as the worms are, the shrimp are still safe to use as a feeder and wont hurt your fish, but I would avoid them if you can.
*note*: IMO I would cull them if you find one, but if you miss one, I don't think you need to worry about the safty of your pets, fish or family.

Dang! I just bought myself a dozen ghost shrimp that I am using as a sort of "cleaner" for my fry tank. They are actually doing a great job at picking up the tiny pieces of flake food that fall to the gravel. In fact, they are even going a pretty good job on the fake plants that are in the tank.

So if the worms are not bad for the fish or myself, what will happen if they do get into my tank? Are they only going to be bad for the shrimp? I noticed in the pictures in that link that the worms get out of the shrimp and into the tank, what do they do then? I guess I am worried about having an infested tank, but not really sure what the down side of having the worms in the tank will be. I could always just get rid of the shrimp, but I have looked pretty hard for about 20 minutes and all mine look ok so far. (It is pretty hard to find them though since it is a relatively big tank)

I wouldn't worry about it too much, at least not to the point where your getting rid of perfectly good shrimp. If you find a shrimp with a worm, just cull it. I have several ghost shrimp in my 30g and no worms so far. You may never have a problem.