[EDIT2]
Also tried to rename to DSOUND.dll
err:module:attach_process_dlls "DSOUND.dll" failed to initialize, aborting
err:module:LdrInitializeThunk Main exe initialization for L"C:\\WA\\WA.exe" failed, status c0000142
[EDIT... slower than StepS's Edit...]
I also tried as you described... set to native, place in game folder...
import_dll Library DSOUND.dll (which is needed by L"C:\\WA\\WA.exe") not found
[EDITs END]
Uff... I really missed the wine-FAQ-Point

But no success.
I tried:
just setting dsound.dll to "native" in winecfg and placing WKDS-dll in WA-Folder - starting worms gives me
err:module:import_dll Library DSOUND.dll (which is needed by L"C:\\WA\\WA.exe") not found
err:module:LdrInitializeThunk Main exe initialization for L"C:\\WA\\WA.exe" failed, status c0000135
copying dsound.dll (WKDS) to system32
err:module:attach_process_dlls "DSOUND.dll" failed to initialize, aborting
err:module:LdrInitializeThunk Main exe initialization for L"C:\\WA\\WA.exe" failed, status c0000142
regsvr32 c:\windows\system32\dsound.dll gave me
regsvr32: 'DllRegisterServer' not implemented in DLL 'c:\windows\system32\dsound.dll'
once, but now i only get
regsvr32: Failed to load DLL 'c:\windows\system32\dsound.dll'
...like it wouldn't even exist. I also tried an original Windows-XP-DLL in all those ways. Same effect...

Any hint?