How do I set my Apple Watch to avoid cellular charges overseas?

Just turn off cellular you your watch. No need for airplane mode.

I do that all the time.

You should also make sure that you have roaming turned off if you carrier supports roaming on the watch.

International roaming with your Apple Watch

With

watchOS 9.1 and later, international roaming is available on cellular

models of Apple Watch Series 5 and later, Apple Watch SE and later, and

Apple Watch Ultra.

To get

international roaming on your Apple Watch, contact your iPhone carrier

to add your watch to your iPhone cellular roaming plan. For

international roaming to work on your Apple Watch, your carrier must

support VoLTE and roaming. Not all carriers support international

roaming on Apple Watch and coverage in other countries is determined by

your carrier.

To turn on international roaming, open the Settings app on your Apple Watch. Tap Cellular, then turn on Data Roaming.

Set up cellular on Apple Watch - Apple Support (CA)