The idea is simple, dampen your eyeshadow brush with a little water and apply like normal. Do not use a lot of water ... just a damp brush. You can try adding a little more water to the brush to change the effect. Do not add water directly to the shadow. I like to use a pencil brush to apply my shadow wet. Nothing fancy needed.
I use an eye primer under all of my shadows, no matter if it is a drugstore brand or high end. I feel it is a little insurance to make sure your look stays put all day and the best it can.
The top swatch is using a shadow wet and the lower is the same shadow used dry
I love these colors and they are very economical:)
Lunar Eclipse by Hard Candy
The Lighter Shade in High Maintenance by Hard Candy
The Darker Shade in High Maintenance by Hard Candy
All Three side by side (Wet on the Left of each color)
Not all shadows are designed to be used wet but many can. Baked shadows work especially well. I bought these at Walmart.