Hi
Under the current version of watchOS, with Wrist Detection turned on, it is not possible to manually lock Apple Watch such that the passcode needs to be entered to unlock it again. Your watch will instead lock automatically upon being removed from your wrist.
On Series 2 models, in Control Centre, Water Lock can be turned on by tapping on the water droplet button. This locks the screen to prevent accidental interactions with the screen. The feature is intended to be used during exposure to water, but it can also be used at other times. Turn the Digital Crown to turn off Water Lock.
More information:
https://help.apple.com/watch/#/apd748b87e2a
If you would like to request that Apple restores the option to manually lock your watch whilst still wearing it and with Wrist Detection still enabled (other than by using Water Lock), then you can do so here: