What you do when you block depends on what the yarn is made of. Four kinds come up again and again: synthetics like acrylic, plant fibers like cotton, animal fibers like wool and alpaca, and delicate fibers like cashmere and silk.
Acrylic melts under direct heat and never recovers, so it is wet block only. Cotton shrinks with heat and stretches when wet, so wet block it and support the fabric when you lift it out. Wool and other animal fibers love steam, and a steamer is the best tool of all. Cashmere and silk should not even be soaked. Pin them out, mist them damp, and let them dry.
For a blend, use the gentlest method that suits the fibers in it. When in doubt, wet block.
1 Acrylic: wet block only
Synthetic yarns like acrylic are usually washable, but never put direct heat on them. They melt, go shiny and flat, and never recover. No iron, no steam. Wet block them instead.
2 Cotton: wet block and support it
Cotton and other plant fibers shrink with heat and stretch easily, so skip the iron and the steamer and wet block. When you lift the piece out of the water, support the whole fabric so you do not stretch out the stitches.
3 Wool and alpaca: steam them
Wool and other animal fibers like alpaca take steam really well. A steam iron or the wet towel method both work. If you have a steamer, that is the best option by far.
4 Cashmere and silk: pin and spray
Treat delicate fibers gently and do not drench them, because even the weight of the water can damage them. Pin the piece out, spray it with a squirt bottle until it is a little damp, and let it dry.
5 Blends: use the gentlest method
If your yarn is a blend, use the most gentle method for the fibers in it. When in doubt, wet block rather than steam or iron.