I'd like to comment on the general misconception of what clay does and does not do.
Clay is an abrasive set in a "clay" medium. Think of it like "sand paper putty". If you apply it to your paint without lubrication, it will sand your paint.
Like sanding with a sanding block, clay removes "high spots" from your paint surface. Because clay is malleable, it removes what I like to call soft high spots. In general, this is dirt and other foreign objects attached to your paint and glass, but may also be oxidation blooming up from the surface.
Depending on the type and hardness of the surface protection you use, and the type of clay lubricant, claying may not remove your paint protection. If your paint protection system lies low and tight, clay will not remove it. If you use a quick detailing spray with a high concentration of alcohol, the QD may remove your protection due to the amount of QD spray you need to use to properly lubricate.
Clay works best when used with a lot of lubrication and little pressure. It responds well to speed because it likes to sheer off particles. Longer strokes are better than short (because each time your hand stops the clay is no longer hydroplaning).