Good topic Marvin. I've been kind of wandering about this as well. I started wet sanding after Al helped me out with some stuff.
It kind of depends on the wood for me if I wet sand or not. I primarly have been working lately with hedge and cocobolo. More times than not, I won't wet sand the hedge. But when I do the cocobolo, I usually start out with 240 grit and smooth everything out with it dry, and then when I am about to toss that peice of sandpaper away, I'll wet sand with it until I get a good coat of slurry mixed into the wood. I'll repeat that process using 320 grit, 400 grit, and 600 grit. After the 600 grit, I may or may not use the EEE stuff on the blank. It usually depends on the mood that I am in at the time ;D and the end finish that I am going to use.