I lapped a handful of G0's and Tuniq's here a couple months ago and had the same question.
So for one I used water, another I used dishsoap, another I used a mix of the too, and of course one I did dry.
By far the fastest easiest way (for me) was the dry method. When I got liquids involved things jsut got crazy messy to control and the cleanup took more time than I was finding to be worth it.
The only
technical reason you wet sandpaper is to reduce loadings. I.e. if you want to increase the lifespan of your sandpaper and decrease your sanding time on any given grit.
Some folks swear that the added lubricative effect of wetting the paper helps prevent "skipping". I wish that were true, in my case the effect of wetting the paper was to cause my Tuniq to "stick and pop" across the paper like a suction cup sliding across a wet shower wall.
In the end I just went with dry sanding for everything but the top grit level (1000 grit in my case) and I was happy for the remaining Tuniq's and G0's I was lapping.
I think it really is a personal choice and comes down to your sanding style and the amount of downpressure you are going to end up using by way of your natural arm positions and so on.
Lapping is definitely not a "one size fits all" when it comes to technique and approach.
I found
Graysky's lapping guide to be a great reference, reading it gave me the courage to finally try lapping and I haven't looked at a CPU IHS or HSF the same since!