wet sanding plastics because the dust can bond together under heat and pressure and form particles larger than the grit your sanding with causing more and courser scratches than you started with.
Dry sanding to 400g on wood and then wet sanding with walnut oil with 400g, if Im using an oil finish like the Dr's woodshop finishes or tung oil etc.
Dry sanding all the way if im applying a poly coating or CA finish