Is there a better/recommended way to do this?
All the methods you list are recommended ways of removing dust from the workpiece.
Brushing is actually a very good way to get dust off wood, and for many woodworkers it's the main method they rely on. It's just that you usually can't do it properly with only one brush. You can use a large soft hand brush to get the worst of it off but you need switch to something with stiffer bristles for the finer stuff. Paintbrushes work well for this and their small size makes them good at getting into corners.
Some people swear by tack cloths*, others don't like them because they hate how they feel and they worry that they'll leave a residue behind which will cause problems with the final finish (this doesn't appear to be much of a concern however).
I guess that a wet cloth has similar sticky properties than the aforementioned shop bought cloth, but has the disadvantage of applying moisture to the wood (leading to warped wood).
The real 'danger' to this is not warped wood, normally wood has to get really wet for there to be a risk of warping.
What you would worry about is raised grain (surface wood fibres swelling due to soaking up water). But this doesn't happen if you moisten the cloth with mineral spirits, acetone or very pure alcohol.
A very good modern material to wipe with that isn't often recommended is microfibre cloth. The very same surface texture that makes these so good at cleaning glass and polished surfaces make them very good at removing traces of fine dust from tiny imperfections in the wood surface. A lightly dampened microfibre cloth may be the best way to remove dust from sanded wood.
* Homemade tack cloth
You can make your own quite easily, from a clean scrap of lint-free cloth (old sheets and t-shirts can be good donors for the fabric), a few drops of varnish, the appropriate solvent for the varnish and a little water.