I've done both methods. For making buckskin, I prefer the wet scrape method...I think the finished product is better. Problems with wet scrape is that sometimes you don't get complete brain penetration so you have to re-brain. However, there is a trick: if you brain the skin, then let it with the brains in it and leave it for a few months, then resoak it and pull it soft, the mucus seems to break down making softening much easier with less chance for stiff spots.
Dry scraping gives a good finished product if you're careful while scraping. Brain penetration is almost never a problem with dry scrape, as long as you get all the grain off. But dry scrape involves building a frame and then hoping for dry weather so the skin can dry.