I would say dry, once you discover the world of pigments, and making your own paints, a whole new world opens up. If you mix with water, this would mean you couldn't mix them with polyester or epoxy resin, or spar marine varnish. Its great having small quantities of a "tougher than paint" paint available in any color of the rainbow. Great for touching up exterior pieces - talk about custom color problems - mixing your own is the only way to go.

I would mix wet if you come up with a particular pigment mix that you are in love with - saves a lot of time when you want to use it six months down the road. Not a problem if you keep a pigment journal though - you are all doing that - right? Collecting all the safety data sheets too?

Do you know the "heavy metal" pigments are being phased out by the big makers. If you like a particular pigment, and it has proven itself over the years, you may want to stockup before all these "new improved" versions hit the market. Still many old time artists swear there is no substitute for lead white or naples yellow or indian yellow - they wished they would have stocked up.