Naturals and relaxed heads alike do this. There isn't a problem with it you just have to watch out for:
1. Product buildup.
2. Mushyness/hardness due to too much moisture or protein.
3. Ingredients that may block out moisture.
Personally, I leave in Oyin Honey Hemp conditioner in order to do my bantu knot outs and it works great for me. When I use it in this manner, I don't use anything else. I've also done the same thing for wash and go's. I've found that as long as the conditioner isn't too thick it works if you're going to wear an out style. But if you're going to wear a bun a thick conditioner may be ok.
Most people add the conditioner on wet hair if they are leaving it in or they just don't rinse it all out when they cowash. I'm sure some people do it on dry hair as well.
Is there anything wrong with leaving conditioner on your hair that isn't a leave-in?
This thread is a great example of leaving conditioner in.