Your iPhone and Apple Watch should both be signed in to the same Apple ID. On iPhone, go to the Settings app. You can sign in to iCloud from there. On your Apple Watch, you can sign in to your Apple ID when pairing your Apple Watch to your iPhone. Or, if you skipped that step during setup, you can sign in from the Apple Watch app on iPhone under General > Apple ID. To send and receive SMS from Apple Watch over cellular, your iPhone needs to be signed in to iMessage, turned on, and connected to a cellular network.