There are a few big changes to the Google Play Music app in v6.0, but there are changes coming to your wearable too. There's a new Android Wear companion app in there (v2.0), and with it comes real download management for music synced to the watch. Finally!
Before today's update, it was an all or nothing deal. You'd either sync your offline music to your connected watch, or you wouldn't. Now there's a new menu in the app settings that lets you view progress of music downloads on Android Wear, and remove individual items (or stop them from syncing over). There's a small indicator on each line that fills up as the tracks are synced over. Simply tap on any item in the list to remove it from the watch.
Wear syncing could still be a little more configurable—everything you download still tries to sync to the watch, but this is a step in the right direction. This makes it easier to keep things locally on the phone, then sync a subset of that to the watch for playback over Bluetooth.