They certainly did not.
The most concise version is probably in this NYTimes letter to the editor:
Regarding the origin of the line “Why don’t you get out of those wet clothes and into a dry martini?”, discussed by Sander Vanocur in “Benchley’s Martini” (letter, July 12), here is what I learned while researching “The Movie Dialogue Quiz Book”:
In “The Major and the Minor,” a 1942 movie, Robert Benchley says to Ginger Rogers, “Why don’t you get out of that wet coat and into a dry martini?” Although Billy Wilder was the movie’s co-writer and director, he said Benchley came up with the line.
Benchley, in his turn, attributed it to his friend Charles Butterworth. Indeed, in the 1937 “Every Day’s a Holiday” (starring and written by Mae West), Butterworth tells Charles Winninger, “You ought to get out of those wet clothes and into a dry martini.” DIANE GIDDIS New York, July 14, 1994
In a variant, Wilder put the line in thinking it was a famous Benchley quote, until Benchley told him he was wrong. But there’s no question that the line was floating around and arrtributed to Benchley before The Major and the Minor appeared.