Playing music on my Apple Watch

First, this can be done, right? Apple Watch has a speaker and it looks like it will play music, but I’ve never done it before. If I play music on my iPhone, I can control it using the watch. I can pause, play, fast forward etc. What I want to do is actually play music on the watch, so the sound comes out of the speaker in the watch on my wrist. When I hit play on a song that I have accessed by opening the music app on the watch, it displays this: “Connect a Device. to play audio, connect Bluetooth headphones to your Apple watch. The watch is synced to my iPhone, and I can see it displayed in the Bluetooth section of my iPhone settings, so I know it’s connected. I would appreciate any help that anyone can give me. Thank you