I use instant oats, add some water, throw them in the microwave for 30 seconds, add some sweetener, and spend 15 minutes choking it down. I can't imagine eating it dry.
When I have whole oats, I do the same thing - they pick up less water, but they still get moist and it makes it a whole lot easier to get them down.
Yes, it is fine. The only reason for heating it up is to increase the process of the oats getting hydrated. I would recommend Quick oats (1 minute cooking required), as they have been previously gelatinized, and will have a 'quicker' hydration.
I started blending oatmeal (1 cup) 1 cup of soy milk (my stomach doesn't get along with regular milk, one scoop of protein powder and a banana--its really good - I have one at 4:30 am and one at 8:30 - fills me up for the am.