What they're doing is smart too, if what I've heard is correct. It's my understanding that many of the feet dry refugees are caught because they're on feet and it's easy to find them along the shore.
Even though Cuban have an exemption if they hit dry land, I imagine that they feel it is in their interest to avoid being apprehended in the first place, so with a working car, they could potentially hit land, convert, then be miles away by the time the first police car responded to some observant citizen's call.
This technique would probably be of most use to Haitian refugees (who receive no special treatment, feet wet OR dry).