If you do a google search for parrot soup and don't look at the disturbing ones giving recipes, you'll find stories of birds who dunk things in their water. We hadn't experienced this with Max, but once Calypso came around, we knew exactly what people were talking about! He takes many food items into his water, dunks them, then eats them. He also does this with non-food items!
Every day, I hide several 2X4 slats around his cage. He loves to find them, take them to his water dish, and chip them up like the picture shows. We also have a roll of receipt paper hanging in his cage. All of the parrots like to chew on this. Recently, he has been taking strips of receipt paper, rolling them into balls, and depositing them in his water. You'll notice that when I was taking this picture, Max had to fly over and make an appearance!