It's time this was written up as a guide, so here goes.
If you buy your watch from O2, it should be setup for you at the time of purchase.
If you buy elsewhere, you'll need to go in store to get setup.
Samsung watch setup.
1. Contact O2 and get them to set up Data and WIFI calling on your Samsung mobile, it's free but needs to be set up to use the watch. You can then turn the switch on in setting under connections.
2. If you need an esim the only place to get it now is at an O2 store, it's free at the store.
3. If you already have an esim you won't be able to set up your watch just by going through the process on the Gear app, it'll set up the plan in principle on the phone and watch, but it won't connect to the network so don't waste your time. Delete the plan and go to an O2 store.
4. The only way you'll get the watch connected is by going to the O2 store, sitting with the sales person and have them set up the esim and the plan, it's £5 per month for 1gb which is more than enough data.
5. Most store sales people haven't a clue about setting up the Samsung watch 4g, so have them give you the esim, scan the QR code let your phone set up the plan and then have them go into their system as if your purchasing the watch directly from O2, at the bottom of their screen (this is at an O2 store) there is a box that says set up watch plan, when they press that, it'll allow them to set up a watch data plan, as if you've purchased the watch from O2.
6. At that point and after the salesperson puts in all the info from the esim they gave you into their system, it'll take about 10 min for the watch to connect, you'll then need to go into the connection settings on your watch, turn on auto for data, turn on data roaming and then go to the network search setting on the watch and let it the watch search for the network, it'll then register it and you're almost there.
7. Next go to your mobile and in settings, advanced, turn on the switch to use your mobile data on other devices, make sure when you turn it on, it shows your Samsung watch at the bottom, tap and another screen comes up showing the watch is connected to your phone.
8. Then reboot your watch and your mobile and you're done. Test it by leaving your phone in your home and take a walk, the watch should connect and show the 4g symbol and the mobile calling bars, if you try and make a call and it doesn't work or says connect to Bluetooth, go back to step 7, and reboot the phone to make sure it's found the device, i.e. your watch. It will also say at the bottom of the watch, standalone, means your using the watch on it's own.
9. You're done. Just remember you can only get your Samsung Watch 4g connected by getting it done in the O2 store.
Additional info from @robmak73 relating to an app update:
After a month of calling o2 customer services every day I have eventually got my watch to work properly.
No thanks to o2 may I add.
The problem is with the update installed with text and call on other devices.
Anyone who has had the same problem as me getting the watch and phone to connect using the o2 network data connection should try this. It worked for me. Uninstall this update. When the update for text and call for other devices has been removed. The option for WiFi calling preferred then changes to mobile network calling preferred. Select this option.
Make sure that auto update is not selected for galaxy store apps.
Then got to watch advanced settings on the phone and select remote connection. This is important. Press screen on the text not on the slider. This should take you to a screen and the bottom section has a slider for using remote connection when Bluetooth is turned off. Select this.
Reboot phone and watch and viola I now have a remote connection to make calls with out my phone next to watch.