Presume you have the 4G version of the watch
You need to add it to your phone plan as an extra device with your carrier though I think only Vodafone, O2 and EE currently offer this( incurs an extra monthly cost - know for Vodafine its £7 / month but not sure how much O2 or EE charge )
Then need to go in to the " Mobile Plan " option in the wearable app and link it to your new add on plan
Nb - watch will work via the phone if connected and within range of the phone - once out of range of phone should then work stand alone