Barry -- When I wet sand, I generally do it on the lathe without a powered sander. Wet sanding all-but eliminates heat, so I can keep the speed up on the lathe. Also, because the liquid used lubricates the 'cut', wet sanding is more efficient than dry sanding. The paper cuts better and I find wet sanding WITHOUT a power sander takes about the same time as power sanding without a lubricant.
The only downside is the mess. Keeping the speed up on the lathe slings the sanding slurry onto my smock, onto the ceiling, onto the wall behind the lathe, and onto the floor. So, I slow the lathe down enough to reduce, but not eliminate that problem. The floor is, generally, covered in shavings, so that's not an issue. My lathe bed is covered in shop towels, so that's not an issue. I don't care about the ceiling or the back wall, so that's not an issue. However, I've ruined my smock! It's stained and I can no longer wear it out in public. I cannot begin to tell you how big and issue that is for me!