Do not put paintballs in water
unless you want to see if they can get bigger then a golf ball. Paint on the outside of a pb won't hurt it anymore then the paint on the inside does. It does need to be cleaned though so you don't goop up your marker.
A few broken balls are common. Just open the bag and dump them out on half of a towel. Fold the other half over the paint and roll them around.
In the future open the box while your at the store and look at the bags.
Edit: Out of curiosity, how on earth do you not already know this? It's almost 09 and you've been here since 07