I've used clay quite a bit, and never had trouble with clay leaving marks on the paint.
I'm sure everyone knows this, but it's not meant to be used "dry".
You need a lubricant, like any of the quik detailing sprays, or a spray bottle filled with water and one capfull of car wash soap.
Keep the surface wet.
I've read of people using just water, but it has no lubricating properties, and you can scratch your paint.
FWIW, I spend time on another forum that specializes in detailing, and it is loaded with good information. I'm on my laptop now (in a hotel in Greensboro, North Carolina), and the site isn't bookmarked on this computer. There are reviews on virtually every car care product available, and not one person has anything good to say about Meguiar's clay. It must be awful.
I've used the clay from Zaino and from
www.griotsgarage.com
and both work well.