Hmmm, I've only actually been out on them in the dry about once or twice I think. So I mean I'm pretty used to the slipperyness of wet tarmac. However, it's much more risky and difficult to attempt anything a bit crazy when it's wet, so it really isn't worth the risk to you or your PJs. I've been a bit stupid going out in the wet, however my road surface where I practice lets the water drain off really easily, so it's not all that bad.
Just do whatever you're comfortable with, as long as you know you're safe. I mean, if it's pouring with rain, the chances are you won't want to go out anyway! If it seems blatent that you're going to slip and fall, just don't even try it! Especially when you're still getting the feel for them.