To make this abundantly clear - you shouldn't soak wood pellets before smoking. Wet pellets are especially problematic in a pellet grill where you could potentially clog the auger and ruin your grill.
Truth be told, you shouldn't soak wood at all prior to smoking whether they're pellets, wood chips, chunks, etc. More on that discussed below.
Wood pellets used for smoking are compressed hardwoods that are extruded into a uniform size for consistent BTU output and flavor.
Grilling pellets are made from hardwood trees, lumber scrap, sawdust, and chips. The larger materials are then put through a wood chipper to be made into smaller pieces. The wood is then dried to remove moisture.
When the wood is dry, it is put through a pellet mill where it is extruded into the stereotypical long, thin rod shape. The high pressure from the mill causes the wood to produce lignin (a hydrocarbon polymer) that allows the wood to be bonded together.
The result is a wood pellet that is uniform in length, thickness, and density.
Rather than simply taking my word for it, I opted to take a handful of pellets from my hopper and put them in a bowl of water.
I then took observations and pictures to demonstrate what happens when wood pellets are soaked in water.
This handful of pellets went into the water at 2:52 pm:
This is the pellets 30 minutes later at 3:22 pm:
I then drained the water and dumped the contents onto a paper towel after 30 minutes. I also took a video of me slightly applying pressure with my finger tips.
As you can see, the pellets crumbled away.
Now the biggest reason this is problematic is that your auger can get jammed. Meaning, you'd have to completely take your pellet grill apart in order to clear the jam.
You may be able to purge this material but if it solidifies, it's like a cement and you'd be hard pressed to purge the auger.
The reason you're wondering if you should soak pellets is because you've been told that you should soak wood chips before smoking.
I can tell you that this concept doesn't hold water - I mean that metaphorically and literally.
Wood chips and chunks should not be soaked before smoking.
In order to prove this, I took hickory wood chips and hickory wood chunks and submerged them - not soaked - for 24 hours. Keep in mind, most products tell you to soak them for 30 minutes.
Talk about a waste of time.
After 24 hours I split the wood chunk in order to show that very little, if any water penetrated.
Here's a picture of the wood chips:
As we can see, there is almost no water penetration, even when submerging the wood for 24 hours.
Meaning, soaking wood isn't even worthwhile, even when submerged for 24 hours!
The theory behind soaking wood in water prior to smoking is that it prevents the combustion of the wood. The water that has penetrated needs to vaporize, meaning, it delays the smoldering of the wood.
Wet wood in a pellet grill can lead to a clogged auger, or potentially break the grill as the wet wood re-solidifies.
This concept also doesn't make sense for a charcoal grill either. The reason it isn't fruitful is because as soon as you open the lid, the wood will combust; Closing the lid then causes them to smolder.
Rather, you can simply put the wood pellets on the lit charcoal and cover the lid.
The result of adding non-soaked wood pellets is the exact same as just adding the wood pellets. Even if it does combust, simply close the lid and allow it smolder.
The exact same thing can be said for wood chips on a charcoal grill.