Once Voldemort is resurrected, he commands Wormtail to "robe [Voldemort]" and then Voldemort pulls his wand out of the pocket of his robes.
Wormtail used Voldemort's wand to kill Cedric (we do know that it was Wormtail who salvaged Voldemort's wand from the ruins of the Potters' home following Voldemort's attack on the Potters) and then placed the wand back in Voldemort's robes pocket.
In Deathly Hallows Ollivander says he was forced to make a wand for Peter Pettigrew. This suggests that Wormtail hadn't had a wand of his own in quite a long time. I mean, he didn't haul Voldemort's wand around in his teeth like a dog would with a bone for thirteen years. If Peter had Voldemort's wand in his possession when he transformed into Wormtail the night he framed Sirius Black, when he changed into a rat, I suppose everything he was carrying with him as a human was transformed as well in some way, and kept safe. It seems that witches and wizards keep their clothes on while transformed, because they don't resume their human form naked. I think it must be a characteristic of that particular kind of transfiguration.
My $0.02, anyway.