Hi
Sponges are very sensitive to chemicals. So dipping would very likely kill the sponge. The other thing is that you should, like mentioned by noy, avoid any contact to air. The question is, what kind of parasites or other harmful organisms are you envisioning? Sponges and corals are so different to corals like probably humans to corals. It is very unlikely, that a parasite of a sponge is in the same time a parasite of corals.
Btw. Colospongia auris can get a real pest in a heavily lit tank. Since it doe's not only rely of filtering food but to a very large extend to it's photosytetic symbionts, it can overgrow SPS and LPS very fast. And furthermore, once in an aquarium, it will be very hard to get rid of it, since smallest piece will settle and start to grow again