Smoke isn't what you might think it is. What is referred to in layman terms as "smoke" or "fumes" or various similar terms is actually a mix of two distinct components:
- solid airborne particles or liquid droplets (aerosols)
- actual gasses (vapours)
Much of what you see in visible smoke (maybe all of it, actually) is solid particles. The only time I can think of being able to see gasses might be your breathe during the winter time and dry ice, and I'm pretty sure that's actually not vapours but just ice crystals which are solid particles.
Passing the air through a soaked material before you breathe it causes the solid particles to be removed from the air because they adhere to the liquid in the cloth via surface tension tension. It's the same as how rain removes dust from the air or how you use a wet cloth to wipe dust from a table. A good dry filter, like a HEPA filter, will do the same thing. So would a cloth soaked in something like mineral/baby oil.
But this type of mechanical filtering (or any type of mechanical filtering) won't protect you from the vapours. For a similar method to protect you from the vapours, something in the cloth must react with the vapour. The best example of this is breathing through a urine soaked cloth would protect you from mustard gas in World War 1.
And it obviously won't protect you from lack of oxygen.
This is why industrial respirators have both particulate filter cartridges and chemical vapour cartridges. And that's why there's many types of chemical vapour cartridges targeted for different substances but only only one or two particulate filter cartridges varying in particulate size. And why they say they are not for use in oxygen deficient environments.