I've never heard of anyone using them on wet hair. I just used mine last night. My hair came out great. I have thick 4B hair, but I also have a fairly new relaxer so I think that helped. I used it once when I was about 8 weeks post and it did not come out too great.. thick root sydrom!
Once the roller is hot, I shake the excess water off then roll from the very tip. Roll the whole head up, leave for about 15 min, remove and beatiful soft boncy curls. I think it's actually healthy for the hair. It's not direct heat is steam.