I had a freak out moment from this once. A couple weeks ago our girls were still in their brooder and they had knocked their waterer so that a large area of the wood shavings was wet. Well, a couple of them started 'dustbathing' in the wet shavings. The problem was that all under her wings where she still had thin down she had small flakes of wood sticking to her all over. I am guessing it must have hurt her to walk because she was limping heavily and when I caught it several of the others had her cornered in the brooder and were pecking her back (she was facing away, into the corner). When I took her out I put her on the table to check her and she couldn't walk right and I really thought she had brokwn or injured her leg.
I decided to take her into the bathroom and used my wife's hair dryer on a low/warm setting to dry her and as she dried the shavings came off her skin and she ended up shaking the rest loose herself. Very scary. But once dried and got the wood shavings off her she was completely fine.
As I said, I am assuming that the wet wood shavings were sticking her skin making it painful to walk.