I generally thaw at room temperatures. Since ATM I have 2 snakes who eat XXL rats (boas), this often means leaving them out to thaw overnight, or while I'm at school/work for the day. If I want to get them a little warmer before I feed them, I'll put the bag that they are in (I only every have 1-2 per bag at that size) in some warm water for a few minutes at the end to heat them a bit. Our old guys have been eating like this for a good decade now and it works fairly well. I'm sure pinkies will be a bit different, in that they are likely to thaw much faster!
As far as putting them directly in water - the only problem I can see with that is if they are left there long enough you could get a 'washed meat' effect. When learning about raptors, often part of training the birds involves giving them tidbits, but trying to avoid too much weight gain. This is accomplished by soaking the meat in water for an extended period - which 'washes' out most of the nutrients, leaving a 'filling' but essentially empty calorie meal for them. (kinda like if you've ever seen a piece of stake that has ended up sitting in water for a long time - it gets a greyish white washed out look) When dealing with an overweight bird raptor, this can be used to help bring their weight back down without them feeling hungry - by alternating it with normal meals. I would guess that left to soak to long, a mouse could become 'washed meat' just as easily, therefore depriving the snake of some nutrients.
On the other side of things - having the prey item be damp or wet before feeding can be a way to get a bit of extra hydration into a snake that may not be drinking enough on its own. We have wet down feeders in the past for this purpose - not soaking them in the water, but just getting them wet before feeding. So using water directly on them may help as far as hydrating your snake.