A friend gave me a cutting to replace one I lost in a greenhouse mishap many years ago, I rooted it in Sphagnum. I know that people are using all sorts of substrates successfully now...PON, Leca, perlite....but I have always used moss for years and years, with no difficulty, unless the cutting was ready to go straight into a soil mix (which I adjudge on an individual basis). And I never, EVER use water.
Melanochrysum is a climber, so make sure after you get it established that you make an allowance in its permanent container for a support