We study propulsion arising from microscopic colloidal rotors dynamically assembled and driven in a viscous fluid upon application of an elliptically polarized rotating magnetic field. Close to a confining plate, the motion of this self-assembled microscopic worm results from the cooperative flow generated by the spinning particles which act as a hydrodynamic 'conveyor belt.' Chains of rotors propel faster than individual ones, until reaching a saturation speed at distances where induced-flow additivity vanishes. By combining experiments and theoretical arguments, we elucidate the mechanism of motion and fully characterize the propulsion speed in terms of the field parameters.