No reason to take my word for it, here is the industry standard:
PSI-PCI - Filling Cylinders In Water - Time to Review
What I find most interesting is that there is a huge argument from laymen (tank fillers, dive shop owners, scuba divers) about how a tank should have a better fill (stay cooler, more pressure, etc) if filled in a water bath, yet there is not one piece of published data anywhere that backs up this theory. Oh, sure, there are a million articles written by very intelligent people about how a cylinder should never be filled in a water bath, and how it would never help in a cylinder explosion, and that the water bath itself becomes part of the flying debris, and these articles set the industry standard, but there are no articles that back up the myth of filling in a water bath.
Even important topics like the Existence of God and/or Global Warming have articles written on both sides of the argument, but there is
not one single published paper touting the benefits of filling in a water bath. Not one. The cylinder manufacturers, the compressor manufacturers, the gas houses, the training agencies, nobody has written such a report. Go to an industrial gas house someday. Watch them fill bottles of welding or medical O2. You'll note that they strictly observe filling rates, but never submerge their cylinders. I think someone above implied that scuba shops can't afford to take a safety precaution like that.
But don't mind me, I'm just parroting the acknowledged experts.