Okay, here's how I do it.
I run my eyeshadow brush under the cold tap in the bathroom to get it wet. I then squeeze it between my fingers from base to tip to remove excess water. Then, I just use it on the eyeshadow the same way I would as if I were using it dry. After doing one eye, I wet the brush again so doing the second one it looks even.
You get a much more intense, sharp application -- stronger colour, sharper edges plus it lasts longer. To soften it, you can just blend as normal afterwards. You don't have to though, and the only way you'll get a really graphic look with powder shadow is to use it this way.
A word of warning here: some cheap eyeshadows really don't work well wet. Anything decent will go on well this way though, as will loose powder colours. Definitely try powder shadows wet as eyeliners, especially for lining under the lower lashes.