Of course it works! Use it only when you need it. Keep the clay lubed at all times. Monitor the clay for grit and grime and fold/flip when dirty. If an older car has never been clayed you might even have to replace the clay mid-job if it’s smaller piece. Finally, work in sections and feel the body as you go to see what you’ve missed. Pretty simply process.
It's excellent, but time consuming. Take your time, keep it well lubricated, and as said above, keep an eye on the clay for any grit. One thing a bit like shaving - you don't want to apply any pressure - just enough to keep the clay in contact with the car otherwise you can mar the paintwork (then you'll need to break out the polish).
I tend to think of it as a once a year thing as part of a full clean and decon in the spring - getting the paint tip top before applying whatever coating (wax/sealant) I'm using. I used to also do it in the autumn to get everything clean and ready for a more durable winter protection, but I'm getting older now and I find that living in Scotland, it's hard enough getting 1 good weekend a year, never mind 2!!
Google is your friend for video's on technique, and everyone has an opinion on the "best" product. Be careful or you'll end up with a cupboard full of stuff (a bit like shaving - you can do it with a bic and a can of foam, but where's the fun in that). When you end up spending £100's on a wax in crystal jar with your name on them don't say I didn't warn you!!
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Just keep turning the clay throughout the process and kneed it well before you start.
The quick detailer spray is very useful for all sorts of jobs around the car body.
Another tip I was given when applying a wax or a polish is to remove any rings and use your bare hands to apply the wax, this should avoid picking up any dirt or grit on your cloth and spreading it around.
It may be better that you don't use this technique on the exhaust pipe when the neighbours are watching.