You don't need to turn iCloud backup on. Just be sure that Voice Memos is activated for using iCloud by going to Settings > [your name] (Apple ID, iCloud, Media & Purchases) > iCloud . . . then under "Apps Using iCloud", click "Show All" and be sure Voice Memos is turned on. Then when you create a voice memo on your Apple Watch, it will be available on your iPhone and you can export it from there. There's no way to export if from the Apple Watch as far as I know.