How do I completely turn off the Apple Watch 4 when I’m not wearing it and not charging it?

Sliding the power off is the correct way to shut down your watch. You shouldn't be having a battery problem with an Apple Watch 4. I suggest you make an appointment with an Apple store Genius Bar......https://www.apple.com/retail/geniusbar/

WashingtonDC wrote:

I dread going into the apple store because it's such a crowd. Hoping to solve without going in there.

That's why you make an appointment before you go:

Genius Bar Reservation and Apple Support Options - Apple

1. Press and hold the side button until you see the Power Off slider.
2. Drag the Power Off slider.

That will turn the watch off completely. Depending on how long you go between workouts, the battery will still drain some even in the powered off state. I'd suggest you charge it when you come home from the gym, then put it back in the bag.

You're using the watch in a way Apple didn't intend. They expect that it will be worn daily and charged daily.

turn off the Apple Watch

Hold down the side key until the shutdown cursor appears.

Drag the shutdown slider.

WashingtonDC wrote:

I power it off like you said and then the battery is drained.

I explained that, even in the powered off state, rechargeable batteries lose power, albeit more slowly.