The life of your gearset may be influenced by:
1. Materials and hardness
2. Geometry of threads and teeth
3. Lubrication
4. Stiffness and alignment of the mounting
5. Loads and cycles
The best material combination would probably be as hard a steel as you can manage for the worm and a medium...
You may have been looking at a Titanium Nitride coating, commonly used on cutting tools, but also used on other wear items. It is a thin, hard coating, that may help reduce friction and wear between two steel parts rubbing, such as in the worm and gear pair you describe.