yes you have to dip it use water. As scale master said it's the "freeze/thaw" principle that "pops" the joints. The water gets between the joined parts, freezes, expands and "pushes" the pieces apart which will break or weaken the join.
It sometimes takes several applications to achieve the full result or weaken the join sufficiently to allow you to gently finish the job by hand.
I recently bought several Italeri Ferrari GTO completed models for a couple of bucks and used this technique to break them back to sprue level before stripping the paint.
I ran the model thouroughly under the tap, put it in a plastic bag, added a little water, tied i up and put it into the freezer. It only needs to freeze fully - in my case a couple of hours - take it out, run it under tap again to melt the ice and then check the joints. Carefully remove parts that are ready to be seperated and then repeat the process as necessary.
IMPORTANT: don't try to force by hand, let the water do the job for you. Remember this is the exact process that is called erosion in geology and breaks up mountains!! it's just quicker in the case of plastic models
HTH
stevenski