From what I understand, you have to be very careful choosing a warm mist humidifier, as the majority have teflon heating elements. I recall the Vicks brand specifically being unsafe.
As for effectiveness, I'm not really sure, I think it's really species and individual bird specific. I think dry air can have negative effects, but I'm not really sure about excessive humidity. If you have central air that you run all year long, it could probably help, as those systems will strip moisture from the air, especially the heat in the winter. All my birds get a misting at least once a day during the warmer months, even if it's just a few sprays and not soaking.
For Greys or other powder down birds, I think a humidifier has a decent bit of benefit, especially if they're like my Gonzo who's entirely water repellent!