You can download books to your Apple Watch if you have at least BookBeat 8.3 installed. Otherwise you have to update the app first.
To download a book to the Apple Watch, open the BookBeat app and click on "Download". Here you will find a list of your recent books. Click the book you want to download and wait for the download to complete.
You can only download one book at a time, so if you want to download more than one book, you will have to wait for your download to finish before you can start a new one.