We finish last in the rain (3)
I believe the answer is:
'rain' is the definition.
(I've seen this in other clues)
'we finish last' is the wordplay.
'finish' suggests the final letters.
The last letter of 'last' is 't'.
'in the' is the link.
(Other definitions for wet that I've seen before include "Moisture; feeble (colloq.)" , "Irresolute" , "Soaked with water" , "Moistened" , "Soaked with liquid" .)