This is one of the areas I am still learning about. Most consumer clay should only be done once or twice a year. If you have a professional grade you may do this about once a month. Claying to often can increase the risk of damaging your cars paint.(Marring, Scuffs, Scratch's) Some clays require a lubrication to help the clay glide over the paint and prevent sticking.
Discard the clay if dropped or when a clean surface can no longer be exposed.
There are alternatives to claying if you are not comfortable using a product that is used mainly by the pro's. It is a spray on cleaner/lubricant along with a cleaning block. One bottle and this block will do 20 cars.
Hope this helps. Sorry I can't list the name of the products. PM if you want them. I think it will be an advertisement and I don't wanna get in trouble for that!!
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