Nope, dry is actually better (it keeps itself moist when it needs to be, after all). That's one of the things many people recommend for keeping yeast infections away, particularly if you're prone to them. When heat and moisture get trapped, it's not good. It's also recommended that you sleep without any underwear, so that your vulva can breathe a little better.

I'm very prone to yeast, and being careful to keep dry has helped some, in conjunction with lots of acidophilus.