A hand-wound mechanical watch must never be wound while worn. Always take it off first. Be careful not to overwind the watch: stop when you feel resistance indicating that the spring has reached maximum tension. Overwinding will break the spring. Ideally, a watch should be wound just once a day.
A self-winding mechanical watch is automatically wound by the movement of the wearer's wrist. If the watch hasn't been worn for more than 35 hours (power reserve) it should be fully wound by hand. Ideally, a self-winding watch should be fully wound by hand once a month.