You'll likely get a variety of answers, mainly because most folks continue to do what they were taught, or what they've always done.  It can also be "situational"...as in depends on the job at hand.

  Speaking only for myself, I tried wet sanding (both by grinder and by hand) any number of times, and while there are certain/specific situations where I feel it's advantageous (such as hand finishing/sanding pearl, paua, or other materials where dust control is of prime importance) For all other materials, that don't require that degree of dust control, I just got tired of having to "clean up" whatever I was wet sanding in order to see my progress/know if I'd taken it far enough....then "wet" it again, and go through the cycle over and other.  

  I could never find enough evidence to convince myself that wet versus dry sanding on steel/blades made enough difference for me to put up with the mess. Of course there are always exceptions.  One of the exceptions for me is when I am bringing out the hamon on a blade.... then I tend to do nearly all the hand finishing "wet".  

  One final comment.  "Wet" or "Dry", the quality of sandpaper you choose for hand finishing cannot be over stressed!  Top quality sandpaper is the only way to go.  (hint: don't buy it from big box, hardware, or other home stores.)  Do some research, ask around, and you'll quickly find the choices narrow to but a few. 😉