What do you mean by blow drying? Like sitting under the dryer or just using a blowdryer? I sit under the dryer, when I have soaking wet twists, and and trying to fight some shrinkage by getting the roots dry. I have had no adverse effects, and if I'm wearing my twists then I find they look neater and less frizzy, adn I only do this at the most once a week. and I don't completely dry maybe like 30 minutes just so the roots are dry and then I go on about my business. If you're literally using a blowdryer, I wouldn't suggest it, it'll make it more frizzy. You can do your twists on dry hair, and it won't help the frizz as much as the shrinkage. usually if I do twists on dry hair I have to wet my hair alittle to get it to stick.
I don't use heavy products because my hair is very easy to manipulate, so just a good moisturizer goes along way with my hair. I suggest just trying out the different styles, becasue what works on one may or may not work for you.