Right. There's "QDing while drying", to minimize the chance of marring, and then there's "QDing while claying" which provides lubrication for the clay.
While I generally prefer to use dedicated clay lubes, many people use regular QDs for that, or use shampoo mix.
You can do a *quick* claying without drying the car, at least if you keep spraying it down with water to avoid the spotting. But if it's a big, long clay job you might oughta dry it off so you can work at a slower pace without having the distraction/pressure of worrying about the water spots. I'm not a fan of doing things in a way that might make you hurry or be distracted from the task at hand...too easy for something to go wrong.