Although your gut reaction may be to take the battery out of your drenched device, dry it off and try it again, the battery should remain out until it's completely dry to avoid a shortage. Then use a towel to not only dry the battery, but also the area inside the device where the battery sits.
However, resist all temptation to pick up a hair dryer or let the device sit in the sun to help along the drying process. Gadgets need to be dried with still, dry air, not with excess heat.
Drying the device shouldn't stop with just cleaning up the wet areas. Place the device into a covered bowl or container of dry, uncooked rice to soak up all of the moisture from the device. It should sit there overnight in a cool, dry place.
Uncover the container the next morning, remove the device and hope for the best.