Some people like to lubricate their sharpening stones but since sharpening a graver usually removes so little metal most people don't bother.
Shaping a graver initially you remove a lot of metal but even then the gravers are so small...
However I hear a lot of the Western Bright Cut engravers mention using lube on at least the final hones to help get the high polish they need for their style of work.
i think you get a slightly better finish when using them wet. i also think the diamond surface will last a bit longer and clean somewhat easier if wet. i use mineral oil. water, windex, most any non volatile liquid will work.