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!!