The water activates the chemical treatments that the gloves have undergone, opening up the pores- making it far more tacky and sticky. It will also make the gloves last substantially longer- a dry glove will wear away much faster and start to chip apart!
You don't have to soak your hands but a good squirt of water will get the grips activated - as the weather gets nicer, keep the water close for hydration and give the gloves a squirt as you take a drink on a warm day with Giga Grip Latex, you will be surprised how much of a difference it makes!