On hard stones, oil is best. Next best is LUBE COOL 4800 mixed per label directions. Water is a poor third place. Water has no lubricating properties. This will lead to reduced cutting life of the blade.
Water can also cause poor bearing life due to lack of lubrication and rust.
For soft stones, water is a satisfactory coolant. However, just water can cause rust and bearing problems. Soak your stones in water to fill all the pores before sawing with water. Soaking time may vary from less than an hour to more than a day. A few drops of liquid soap or detergent can help the water penetrate more quickly.