Wets good on aluminium as TeePee said. I never use it with soapy water. You can get some interesting effects with fine-ish wet and dry, say 400 grit used on aluminium wet. If you put a bit of water on the surface and let a bit of grit/aluminium dust build up in the water (ie let the water get dirty while your rubbing) you should end up with a finely finished matte surface with no sanding marks etc. Very nice effect.
Id go very carefull with your anodised alu. Anodising is only a surface treatment so even with fine wet and dry you could end up taking off too much. IF it just the burr your worried about i'd be inclined to use a fine needle file drawn lightly along the edge rather than abrasive paper.