You should clay whenever the car needs it. If you park under a tree every day then you will need to clay more than the average bear. If you live by an oil refinery (like I do) then you may need to clay more than the average bear. If you live by a freeway or do a lot of freeway driving then you may need to clay more often. Its just a matter of need. If your surface feels rough then you need to clay it. Its not going to hurt your finish if you do it properly.
Claying is one of the first steps in preparing the surface of your car for a wax or sealant. After clay you generally polish and then move on with the process. Since clay may remove some or all of your wax or sealant, it is a wise idea to just go ahead and polish the rest off and start over. If you have to clay your car then you should be prepared to basicly start from the beginning again.