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I keep my engine compartments pretty clean. On a newly aquired "used" vehicle, I use a spray bottle of simple green and soak the whole compartment, then head down to the closest car wash and use high pressure with soap. Clean off as much as possible, rinse, repeat as necessary.
I always take the time and a few extra quarters to clean up the wash bay and I have never had a problem with the car wash owners.
Unless you have an open intake filter, there is no problem. I do try to keep heavy, direct spray off relays, things like that. After that, it's an easy job to keep the engine compartment clean.
Don't do it to a hot engine. Specifically the injection pump. Very close tolerances in there and if you spray water on a hot injection pump you can cause $$ problems.
Two good bits of advice listed above - Like MistakenID sez, your best results will be with a WARM engine. Your soap solution soaks in better to warm grime than cold grime. Also, most of the spray-on engine cleaners contain some kind of petroleum distillate to help them combine with the grease & grime. On a HOT engine, this stuff immediately vaporzies and you have a cloud of highly combustible vapors floating over your engine. NOT a good work environment. Warm engine = best results. Pay close attention to protecting glow plug components from the water spray. The GP controller is really touchy about water. New, from the factroy, the GPC had a plastic weatherproof cover. This cover is usually missing, so take a moment to cover the GPC to protect it. The two extra minutes you take to do this will save you bucks and headaches.
As Shimonmor points out, keep the stream away from your injection pump. The outer case is aluminum, most of the internal spinning guts are steel. You hit the pump with hot water, it evaporates away, cooling the outer case. As the case cools, it shrinks, tightly gripping the steel pump rotor inside. When you start the engine up a few minutes later, you instantly gall the living snot out of the pump case. There goes smooth idle, engine performance and mpg.
If you got an automatic with an E4OD tranny, then make sure you protect the Throttle position sensor on the drivers side of the IP. These sensors are pretty fussy to start with and you don't want to get water in them.