Additionally, most materials are better wet sanded to NOT build up stuff in the paper grit. This (buildup) can lead to scratches (even gouges) in the surface.
The water helps float removed material away and provides a small amount of heat dissipation.

If you want to "check your work", an inexpensive red rubber squeegie works well to make the surface dry again (as well as helping remove "sanding sludge").
The dry surface you're left with makes it a lot easier to look for "shiny" vs. "dull" to see where more sanding may be needed.

I wouldn't wetsand a lot of "natural materials" (wood, paper, bamboo, leather) unless they had a coating of something or were sealed.