Under most circumstances, even just having the one basic sealed waterskin you get at the beginning of the game will be sufficient for an exile's hydration needs almost anywhere in the Exiled Lands or the Isle of Siptah. If you're going to be spending a lot of time running around in a location with no available water for refilling your waterskin, though—say, somewhere like the Unnamed City in the Exiled Lands—it might be worth your time to bring along an extra sealed waterskin or two, just in case. The additional waterskins won't weigh you down, but the excess water you bring along in them can be a real lifesaver.