Just like any detailing process, you only clay a car for a reason. First, take a thin plastic baggie, like a sandwich bag, or thinner (2mil or less). Put your hand in the bag and feel the paint. The bag will magnify your senses and you will be able to feel the impurities in your paint.
Work one panel at a time, stopping to feel the paint using the bag. Once the panel is completely clean, move to the next panel.
I always break my clay into small pieces, just large enough to cover the palm of my hand when flattened. Like mentioned above, use plenty of lube. Car Shampoo or Detail Spray works great.
Don't forget to clay your glass. Glass is more porous than paint and impurities will embed themselves into your glass. I use Glass Cleaner as lube on the glass.
I save a couple used pieces for the end and do my wheels with them. I throw them out after doing the wheels.
Clay is great for removing tree sap too. I use a small piece I expect to throw away and use All Purpose Cleaner as lube. It will break down the sap as you clay.
Rule of thumb is you should clay your car as often as you change your oil. It varies, due to the environment your car is in. Garage kept cars need it less often. Exposure to rail dust and heavy machinery/exhaust will increase impurities in your paint.
Remember, at the least, wax your car after claying. Clay will strip any protection you had on your paint.