How can I disconnect bluetooth headphones from an Apple Watch without "forgetting device"? How can I disconnect a bluetooth device from an apple watch without having to forget the device? 

Do I really have to re-pair things like headphones every time I want to disconnect them?
You can turn off the bluetooth feature on the device itself. If you want to continue to use that device nearby your apple watch then you'll have no other choice but to unpair it, unless you can pair it with the other bluetooth device first.

If you pair with multiple devices, then you dont have to disconnect them. But if you disconnect them and unpair, then yes you'll have to re-pair them.