I use much the same process as you, but in between the clay and the Show Car Glaze I apply a paint cleaner (sometimes Meguiar's Body Scrub, sometimes their Deep Crystal System cleaner - either one works well). I think the Glaze is easier to buff off if it's been applied to paint that's been treated with a cleaner first. The key to applying glazes and waxes is making sure the paint is as prepared to recieve them as possible - paint cleaner helps to make sure the surface of the paint is in good shape and ready for a polish or wax. You might want to try it.

__________________
Zach
1992 300CE