About silicone sealant proper, nearly everything has been said already. But when people say "silicone" in everyday, at least over here, they can mean different sealants / caulks, including silicone, acrylic polymer and polyurethane.
Techniques for polyurethane caulks
For polyurethane based sealants and construction glues (examples: Sikaflex-221, -252), using soapy water on the bead or finishing tool does not work at all. Some sealant will just stick to the tool and leave an uneven surface behind. Also, it's not a good idea to use the finger as these sealants are skin irritating / damaging.
Instead, I just found out that ethanol works well when sprayed on the bead and also put on a rubber-gloved finger to wipe along the bead. Ethanol is a good solvent for polyurethane sealants and will result in a layer of thinner sealant on the surface on which a gloved finger glides well. (It's not perfect yet, though; I might try adding dishwashing detergent to the ethanol next time.)
Side effect: As ethanol is a suitable solvent, cleaning tools, fingers, gloves etc. with ethanol from residue of polyurethane sealant also works well.
Techniques for other non-silicone polymer caulks
A friend's favourite technique is to let the sealant bead sit for a tiny bit of time so that the surface is not just starting to settle, and then to wipe along the bead with the finger covered with a wet-wipe made for use on infants. Not sure what type of sealant this works for exactly; just that it also works for silicone.