IMO, I've never found clay to be a waste of time. Clay will always remove contaminants that could potentially get into the foam pads and really scratch the hell out of the surface your are perfecting. Even on the most contaminated surfaces, I would always find a contaminated spot and run throught the entire detail process on it wash --> clay --> compound --> polish (no LSP). In this way, you can really define what works and what doesn't. This will guide you as you detail the rest of the car. That's just MO.
As for wet-sanding, I would never suggest anyone go directly to wet-sanding.
As for the clay, if you can rub your hand across the paint and feel contaminants, morte than likely clay can remove those contaminants. Don't skip a very important step on a really contaminated panel. If you are really unsure how effective the clay is, do a panel and inspect the clay. If it is dirty, your are making progress.
PREP IS EVERYTHING
JJ