Well when I google that exact title, I get like 50 videos, so I am not sure what video you are looking at.
First video is: http://www.youtube.com/watch?v=CZ4P51XsBfA
The only yellow fish I see with a blue head is a Aulonocara stuartgranti maleri
If that is not the right vid, then while you are watching the vid, copy and paste the link like I did.
Wet and dry is fine, it is just another method of filtration. It depends on what you are most comfortable with, personally I think they are overkill for cichlids, it certainly won't hurt anything. I am using mostly sponges and cannisters, but if you like it, go for it.