If you have to ask, then don't soak them. Its easy to mess up when soaking your wood and turn your food black and foul tasting.
Seems there are two kinds of smoke. Smoke from smoldering wood is thick and white while smoke from cleanly combusting wood is thin and blue. Thin and blue is what you want coming from your smoke stack, but that can be achieved also by smoldering a few wood chips as opposed to burning one chunk or log.
Soaking your wood will make it smolder instead of burst into flames. I think that it is a good method if you have very little wood to use, like for instance if you have to purchase your smoking woods by the bag from the hardware store. You can make a bag of wood chips smoke for a long time if you soak them and only burn a few at a time, just enough to keep a thin blue ribbon of smoke coming from your exhaust.
But I can't help but think that there is something different between smoldering smoke and cleanly combusting smoke, besides the density and volume of smoke generated.
In my opinion, its better to keep a cleanly combusting fire rather than a smoldering one.