Is Apple Watch 3 waterproof?

No it’s Water resistance. Big difference. Yes put the water 💧 lock on. It on your control centre

https://support.apple.com/en-gb/HT205000

Its not waterproof, but is water resistant and can be used in shallow water activities like swimming.

0805bird wrote:

do I need to do anything before I get in the water with the watch?

You can turn on the Water Lock to disable the screen, so it isn't accidentally tapped by the water pressure, but its not absolutely required.