This is a nice little primer. Lubricant is important as they discuss, I've often just used Meguiar's quick detail spray. Also, if it's really bad, start on a very small area (even 1 foot square) and see how dirty the clay gets. As the surface of the clay picks up contaminants it gets dirty and you want to continually remold it so you have a clean clay surface. And don't drop it, as that will pick up crap and ruin the clay. I usually use a clean plastic tarp (with my feet under it) when I'm working on the sides so if I drop it, I have a chance that it's not immediately garbage.

How to use a clay bar on your car - YouTube

The above is at times a promo piece for pinnacle, which is good stuff, but you don't need to buy into their kool-aid. For lighter finishes, particularly metallics (like MB's silvers) I've had the best results with FourStar products.

Generally speaking, the forums at autopia.org are a wealth of wisdom, information and experience.