Since last update Android Wear has a new feature - the always-on mode. This means that the Android Wear device doesn’t turn off the screen; it changes to the ambient mode to save battery and keeps certain apps running in the background.
How exactly should I implement this?
p.s. I'm developing sport application, not watchface.
What you're looking for is how to support "Ambient Mode" in your Wear app's activity.
There is an entire doc dedicated to this:
http://developer.android.com/training/wearables/apps/always-on.html
As well as a code sample: