I tend to think that the fact that so many species do it suggests they're actively trying to increase the moisture content in their food for a reason (maybe its easier to eat or digest), so I don't go to any lengths to discourage it.
Interestingly, none of my small Aussie parrots do it, and their natural diet would have a lesser moisture content than that of our conures, amazon, and macaw (who are all dunkers). I'm sure an element of dunking becomes behavioural after a time, because I'm quite sure that no amount of water is going to make Elmo's plastic toys digestible
, but I think it starts as a way for them to make the dry/processed foods we choose more suitable for their needs. JMO.