The primary reason I bought an Apple Watch was that I thought it would prevent me from forgetting my iPhone when I leave the house. I was expecting some sort of vibration-based or auditory alerts.
After owning one for several months, I don't see that this is a feature and haven't found 3rd party software to do it, except for one called "Lookout" which sounds like it does this, but doesn't really. Lookout can make your device "scream" when you're looking for it around the house, but that's about it. It's like a 3rd party version of Apple's "Find My iPhone" service.
When the iPhone is out of range there's a tiny red rectangle that shows up, but you have to know to look for it (and if you can remember that, you can remember to check your pocket for the iPhone).