It depends on the base. Water-based dyes will raise the grain, so you might want to hit it, but you risk inconsistent coverage and so possibly a blotchy result. Solvent-based (alcohol or acetone) dyes boil off pretty fast and don't tempt you to mess with them. The end result color-wise is no different; it's more a matter of whether you're a tree-hugger or not. Solvent-based dyes put some VOCs (Volatile Organic Compounds) into the atmosphere, and if 32,395,455,296 people a day refinished guitar bodies, it might make a difference to a tree frog after 3,519 years. That would be a crime, and might make baby Jesus cry. Certainly California would have a hissy-fit and fine you into insolvency.
You may be able to guess which way I'd go. But, all that said, water-based dyes do give you more time to play, as they don't set up so fast and so make it easier to smear around evenly. it should also be noted that it doesn't matter which way you go as long as you let the vehicle burn off completely before applying the finals.
You haven't mentioned whether the urethane you're using is catalyzed or not. If not, it isn't going to look "good" after shooting no matter what you do. You'll have to wait a while for it to harden and follow up with sanding/buffing to make it look good. If it is, and it doesn't look good 10 minutes after shooting, then the underlying surface is kukka.
Prep is everything.