KYou’ll get a cleaner cut and your sandpaper will last better if you do. You can also go up to 3000 grit in steps if you want to go that far. Then hit them with the compound and glaze.
Yes I do use water and add a few drops of Dawn or other soft soap.
This keeps the sandpaper from loading up as easily.
I keep a towel pushed in below the headlights to keep the solution off my painted surfaces.
I just don't want to wipe any grit off my paint ya know.
Thanks for the learning!