Just like iatacs19 said, make sure the surface is lubricated and don't press down hard. The clay will draw out the contaminants, you don't need to grind the clay into your paint

As long as the paint is lubricated, the claybar will not leave any residue behind - but if you rub it across a dry part it will leave a smear of clay. I use soapy water for a lubricant and just spray it off with a waterhose after I claybar the area, then move on to another spot. I like to wash the car again after you clay bar, but its not absolutely necessary. When you're done with the claybar, you're ready to wax!