Regarding the question: "So many people believe in so many different Gods. Does that mean they all live in different worlds?"

Since that question is posed from within an LDS context and I've never been LDS, I'm unable to offer a relevant reply. I'll leave your question to those more knowledgeable in LDS theology to answer.

However, if you're interested in a more general reply, I would say that they (the different Gods) could only exist in different hypothetical worlds. For example, no omnipotent, omniscient, omnibenevolent God could possibly exist in a materialistic (i.e., physicalistic) Universe. So if this is a materialistic Universe (and there is as yet no evidence to dispute this), then such a God does not exist.