Not only is this the best option for workouts, but it also gives you another source to play from if your phone happens to run out of battery. It's not just audio from third-party apps that you'll hear, either - responses from Siri, incoming calls or notifications, and other watchOS tones will also be audible once you pair.
At this point, we would recommend putting your Bluetooth device into pairing mode. You can do it earlier, of course, but oftentimes these periods are time-limited and your device may not appear in the list of devices available to pair if you don't time it right.
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