I have always been told no. Personally, I wouldn't want to put clothes on if I was wet, so I wouldn't expect my horse to be wet and saddle him. I'm sure it wouldn't cause any harm, but I guess old habits die hard..
I try not to saddle a wet horse if it's cold outside simply because the saddle pad traps that wet and it stays cold under the saddle all day long. In the summer, it's so dry here that any horse I bathe is usually dry before I get a chance to saddle them but I wouldn't hesitate to saddle a wet one. They end up wet under the saddle quickly at my house anyway LOL.