iPhones get warm because they have a number of components that can generate heat (typically biggest power consumers: SoC, cellular modem, screen backlight) and also a substantial battery to draw power from.
In the Watch, there's no cellular hardware, no LED lightbar for the screen and the battery is tiny, so the SoC has to be very low power and software it runs must be light-weight as well. It's not going to become even noticably warm, except maybe when charging, and probably not even then. 🙂