You want any water that you put on your lawn to reach the roots. It is best to water your lawn in the cool of the morning or evening. If you water in the heat of the day a good proportion of the water will evaporate and give no benefit to your lawn.
It is also better to give it a good soaking less often. This will encourage the roots to grow deeper give the grass a better foundation to grow on. If put a small amount of water more often it will not soak very far into the ground meaning the roots will be shallow and weak.