You can play a sound on your Apple Watch from your iPhone without Find My. It needs to be powered on and in range. I usually prefer that when I know it's somewhere close. The sound is less annoying and there is no email from Apple about a sound being played. Also it won't randomly trigger the sound at a later time in case the Watch is turned off.
- Open the Watch app
- Go to Sounds & Haptics
- Tap on the louder end of the Alert Volume slider
- Your Apple Watch should play a click sound
- Repeat 3. until you find it