We've just bought a WJ machine, and I have to say it's amazing. It will go through anything, no HAZ, no burrs, is fast, clean, simple, and easy to use. We bought it for a simple job, and its now being used for anything and everything, including cutting the MDs kitchen floor tiles to size. Couldn't do that with a laser!
The only downsides:
Very high accuacy is a no-no. Because it's a jet of water, the 'cutter' is actually slightly cone shaped. (we're talking 0.001" or so).This problem is obviuously a function of the depth of cut, so might not be a problem. In a similar way, you tend to get an angle on corners unless you back off the feed, as the jet 'bends' out as you go round. This is a very, very minor problem really, and is not really an issue.
Another minor headache is unless you have a posh machine, every few months you need to shut the thing off, drain the tank, and dig out all the spent garnet thats settled to the bottom. A pump and settling tank solves this, so again: minor worry.
Also, if you have to cut in air, for any reason, (to big a job, can't get the material wet) it's incredibly noisy. Cuttin g submerged is almost silent however.
Another advantage over a laser is it's very very simple. It's just a big pump pushing a lot of water through a small hole. Not much to go wrong there. Also, no worry about sparks, laser radiation, or any of that H&S stuff. You don't even really need guarding on it. Very easy to set up too, just fill it with water, switch it on, and you're ready to cut.
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I'm totally impressed by these things, and would go water jet all the way. I keep boring my collegues with how amazing it is!