If you are not already doing so, then use these settings:
On your iPhone, in the Watch app, go to: My Watch (tab) > Passcode:
- Check that Wrist Detection is turned on.
- Check that Passcode is turned on.
- Also enable Unlock with iPhone.
After putting it on your wrist, your Apple Watch will then unlock after whatever you do first: either unlocking your watch manually (by entering the passcode) or unlocking your iPhone.
It will then remain unlocked (including when the screen is asleep) until you remove it from your wrist. When you remove your watch, it will lock automatically:
Turn on, wake, and unlock
Note that the Wrist Detection feature can be affected by temporary or permanent skin changes, such as by some wrist tattoos.
Also check that you are wearing your Apple Watch sufficiently snugly on the top of your wrist (it may otherwise believe that it has been removed, causing it to lock):
Wearing your Apple Watch - Apple Support