Is it good to wet the hay to avoid dust when the weather is very cold?

No I don't I have cough medicine or just buy new bales just for that horse
Only do it if your horse has breathing issues or is coughing, or if the hay is extremely dusty (in which case check at the dust isn't mild spores). We wet our horses hay freaquently, but only the ones who need it because soaking the hay does take away some of the nutritional value.
Can you put his steamed hay in a heated bucket? That would help keep it from freezing before he could eat it. That way you could steam or wet it and it would stay damp, not dusty and somewhat warm :)
Steam the hay. It's much more efficient than wetting the hay down, especially in cold weather.
With breathing and coughing issues, hay is steamed or wet down :)
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