I used to feel awkward about applying makeup with my finger tips. Then I read it’s how Pat McGrath does it. Who can argue with such makeup greatness.

You wet the sponge first so that it is full so to speak and doesnt soak up the foundation. Sponges are used to soak up liquid so if you wet it first and then ring it out it will have less room so will soak up less of the foundation. Hope that makes sense,
I mostly use my fingers also as they dont soak up product at all and I feel it goves me better control.
Just do you. What ever you find to work for you is ok.