From Worms Knowledge Base
Contrary to popular opinion, the teleport does have retreat time - but only for a fiftieth of a second (a single frame). This is enough time to initiate a forward jump.
This can be useful for teleporting near a mine to trigger it, and then jumping away, or collecting a crate and then jumping to collect another crate.
To perform a teleport jump, you must make sure the worm does not fall after teleport. Click on the land itself and the teleport will redirect to directly on the surface, then press Return during the 0.02 second retreat time to initiate the jump. Holding the Return key throughout will also ensure a teleport jump.