Nothing grossly wrong with it, but I don't belong to the obsessive compulsive school of thought..
WD40 is a light oil, basically kerosene. It will have an odor and can get sticky/attract debris and dust when you leave it though. You wouldn't be able to clean it off your stones unless you aggressively cleanup your stones with soap. Some stones are porous and will absorb the oil and you cannot get the oil back out.
I would say just use water. This is good enough to put a razor edge on a knife. Yet somehow people get overly twisted up for ski edges, which is basically just steel.
If you use an oil lubricant, in general you've got the same function of clearing of debris away from the cutting surface, but also you are reducing the abrasiveness. But if you wanted to sharpen slower and more precisely, why not just use a finer stone.