A world file is basically a 6 line ascii text file determining your georeferencing. If you have a set of GCPs, you'll need to map them (using some tool like gdal) to a single affine transform.
I don't believe the gdal command line utilities give you the ability to just directly make a world file, although some drivers within GDAL will do this for you when you write an image if you set WORLDFILE=yes in the driver. You'll have to check the driver for your specific format to see if it supports this.
If it does not, though, you can do this easily by hand. Just make the .VRT file using the GCPs, and look at it in a text editor. It will have a section like this:
<GeoTransform>440720.0, 60, 0.0, 3751320.0, 0.0, -60.0</GeoTransform>
This "GeoTransform" is the affine transform used by a world file. All you need to do is make an ascii file that puts that with one value per line, like so:
60
0.0
0.0
-60.0
440720.0
3751320.0
That will be a valid .WLD file for your application.
FYI - The 6 numbers are the x pixel size, y shift per x value, x shift per y pixel, x origin, then y origin. (The shifts provide rotation/shearing capabilities in the affine transform. Typically, they'll be 0/0, since you normally want orthorectified imagery).
For details, see Wikipedia's entry on Worldfiles.