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 turn around, and/or initiate a forward jump. This also affects "teleporting in" when manual placement is on.
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, but only when you place your worm at the start of the round (with manual placement on). You can also make your worm turn around right after the teleport; to do this, hold down the left/right arrow key while teleporting/placing your worm; holding it down works with manual placement as well.