No, I never bother soaking them for ages before the first burn.
I'm not going to go into any detail because there are a fair few posts dotted around here that talk about it, but I've never found that it helps.
Soaking the other end in water probably would work, but then you'd end up with a very soggy pair of poi

I just tied a couple of knots in the end of mine, rather than making sock + ball handles and they work find for me. I don't throw or wibble mine though so I don't need perfectly balanced poi, I just want something to hold on to
