You will find zealots on both sides of the water/no-water argument. My take is this. The water is there primarily as a heat sink and buffer. With a pan full of water it will be difficult to get the WSM above 300F. The water makes it relatively easy to keep the temps in the range you want for low and slow.
That said, the water sucks up a LOT of the energy/heat generated by the charcoal. The phase change to steam requires 540 times as much energy as raising the same water 1*C before it hits the boiling point. So a huge amount of energy goes into turning the water to steam and the liquid water will stay at 212F until it all boils away.
Using sand or ceramic briquettes or lava rock blocks the direct flow of heat up through the pan and it does provide thermal mass, but you don't have the physics of water working for you to keep that mass at 212F. The sand will happily get just as hot as the charcoal can make it.
If you have any doubts about your mastery of temperature control, I'd stick with water in the pan, particularly on a cook where other people are depending on the outcome. Once temperature control seems like a trivial concern, then maybe you want to experiment with sand or something other than water. Be sure to provide some place for the grease to collect or you'll end up with some rather nasty sand all the critters in the neighborhood will be attracted to. Apparently large ceramic flower pot saucers are popular for this.
If you want to do a high heat cook, perhaps if you're doing chicken or turkey, then you want to cook with the water pan dry. Sand would work fine for this.