If you find a wet blade gives a better shave then I think you should keep it wet.

I used to feel the same way (old pre-straight habits die hard) but now I just wipe my razor lightly on a cloth wrapped over the edge of my sink to remove the bulk of the lather. I leave the very edge unwiped to protect it and leave a little lather to hopefully improve the start of the next stroke.

I think it's a personal thing, but if your razor rusts easily that may force your hand.

(Another thing is that if you oil your blade, water tends to bead up and run off of it, so wetting the blade isn't practical unless you clean the oil off.)