There is no easy way to take screenshots on Android Wear, but you can accomplish this using adb. Adb requires debugging to be turned on and a connection to a computer through Bluetooth or USB. You can find the guide here.
From a terminal, enter the command:
adb shell screencap -p /sdcard/DCIM/screenshots/screenshot1.png
Reminder: change the file name for each screenshot.
The path can be set to any location you prefer, but the filename should be changed for each screenshot. If a filename already exists, it will be overwritten without warning. Also, if more than one device is attached, you’ll have to use the -s flag to tell adb which device should be taking the screenshot.
Once you’re done collecting screens, use adb pull to copy them over to your computer.
adb pull /sdcard/DCIM/screenshots/screenshot1.png
-or, to copy all of them at once-
adb pull /sdcard/DCIM/screenshots/