Clay isn't always necessary. If you can see or feel dirt/imperfections stuck on your paint, then it is likely worth the effort to use clay.
If you keep your car in good shape and the surface feels slick/clean, then its probably not worth your time and you can go straight to polishing.
If this is the first time for the car to be polished, then I would suggest that you invest your time to do so now. It will yield better results overall.