From anecdotal information I have read, particular to the Ford 2.3 turbo application which initially used a non-water cooled turbo, the biggest issue was post shutdown heat soak, not steady state operation. In steady state, the oil flow through the turbo removes a great deal of heat. However, Ford saw fit to update the application to a water-cooled center section turbo after a couple of years, due, it is said, to excessive replacements under warranty due to oil coking. The upshot is, the period where the water is doing the most good is after shutdown, when any coolant circulation is due to free convection only. The moral of the story is, a little water goes a long way, due to it's Cp as Mike points out, as well as to the fact that it will boil, if necessary, placing somewhat of a ceiling on the local temperature.
I forgot what I was going to say