Well, as long as you're willing to wear (essentially) fishtanks into battle, it might work.

One little layer of wet clothes isn't going to do much against Directed Energy Weapons - unless you were just really anxious about condensation.

It can't conduct heat to human skin. The concept, in this case, wouldn't be to merely prevent a material from catching fire, but to keep the person from being burned or steam-boiled.

However, the general concept could also be applied to protecting things besides people, such as vehicles or buildings.

I don't actually know very much about the wavelengths used by DEW, so I'm not clear if water, alone, is a practical as shielding, but could be used as a heat sink, especially when factoring in latent heat of vaporization.