A group of researchers put the theory to the test, letting twenty volunteers soak their fingers in warm water for 30 minutes to get them good and pruney, then testing exactly how long it took them to move wet glass marbles and fishing weights from one container to another. On average, pruney-fingered participants moved wet marbles 12 percent more quickly than when they were tested with unwrinkled fingers. When the same test was performed with dry marbles, the times were roughly the same. Thus, it seems, the hypothesis was proved: pruney fingers do help us grip better.
From the Smithsonian magazine.