They did but not to the extent that some scholars maintain. Christians generally worshipped in the homes of one of the wealthier members of the church. The catacombs were places of gathering, but rather than for worship, the catacombs were for remembering and honoring the dead. Christians would hold feasts in the catacombs in honor of loved ones. Martyrs would have their relics honored, but I take it that that's not the sense of worship you're asking about. Church as you know it was done in the home. Robin Marget Jensen at Notre Dame addresses the topic in her book Understanding Early Christian Art. Princeton's Peter Brown does as well in The Cult of the Saints.