Clay bars are a great invention, and are very easy to use.
blue ones are more fine, red ones are more coarse - red ones are for heavier oxidation and industrial fallout.
we use the auto magic line at our shop , but meguairs works good too. they're all basically the same.
Just get the panel good and soapy, then rub the bar lightly back and forth..don't go in circles.
never do anything in circles - use the clay straight lines, imagine how the air would move over the car, and go in that direction. circles cause scratches and swirl marks.
If you are waxing the car afterwards, apply it in straight lines as well.. circles leaves swirl marks, as will using too much product, and working in direct sunlight..a thin coat of wax is all ya need - the clearcoat can only absorb a finite amount of wax, so "stacking" wax with multiple coats is a waste of time and product. it'll look like crap when you are done, too.
back to the clay bar:
do a panel at a time, until you're done.
doing it as you wash the car is enough..you don't need to wash the car, dry it, and then use the spray that comes with the bar..it's redundant, and water works just as good. as long as the liquid cushion is there, you're golden.
At the wife's detail shop, we use clay bars in order to prep cars for waxing or rotary polishing..very good for getting the rough stuff off the paint.
We'll also use them to take off paint from parking lot encounters, or if someone scrapes their garage while backing out.
I also like using them this way..spraying window cleaner on embedded dead bugs in the paint, and then lightly applying the bar..they'll come right off, if they haven't baked in for too long.
i've used the coarse bars to perform some miracles on cars that get exposed to industrial fallout, where it looks like rust particles in the paint, or when our customers drive by a bridge that's being painted.
What they're not real good for is removing road tar.. they'll work, but you'll ruin the bar.. better off using kerosene on those, before you start the washing process..
just work with patience, and you'll be rewarded.