Hmm...when I used to use them, I used oil or water on them. If you buy a Arkansas kit (any sharpening kit really), it usually comes with a bottle of oil. I was always told to lubricate the stones, because if you didn't, the pores of the stone would clog horribly from metal particles. By lubricating the stone, the particles stay suspended in the oil/water and don't get forced into the pores. Every so often, you scrub the stone with dish liquid or some other oil removing soap to clean the stone's surface.
I don't use natural stones anymore, all I use are ceramic or diamond hones, usually in a Lansky kit or a block system on thinly ground blades like fillet knives. I still use oil with them, even though they don't really need it. Seems to help them cut faster and cleaner than using them dry, and makes it easier to clean the particles off the stone too.