According to a recent article in Environmental Microbiology this is how it works. Like a some other sea worms (such as red tube worms)Osedax lack a mouth and functional gut. They also, unlike other sea worms, lack a trophosome (an internal organ that houses endosymbionts - sea worms with trophosomes derive nutrition from the endosymbionts).
Instead, Osedax species have a highly vascularized root system (r in the righthand picture above) that invades the bone marrow. The root system is connected to a large eggsac (o in the righthand picture above). Both eggsac and root system are filled with bacteriocytes. This is where the story gets even more interesting. Normally, the bacteria found in most sea worms are autotrophic, that is, they produce their own food. Osedax bacteria, on the otherhand, are hetertrophic. The way the symbiotic relatonship was established makes for fascinating reading and I strongly recommend you follow the link and read for yourself (you should probably reread my posts on stable isotope analysis first).
