clays come in different grades of coarseness, though usually only described as 'fine' and 'coarse'. for paint in poorer condition, you would consider a coarse grade; fine grade for paint in better condition. you would also AVOID a coarse grade on dark coloured and soft paints because it can create unsightly swirls.
a 'lubricant' is a must.
i use Meguiar's clay (it is a fine grade), which includes Detailer spray lubricant as part of the 'kit'. note, i am no means an officianado of car detailing!
as with any paint work, claying is but one step in several to create a top quality finish. you would ordinarily clay after washing the car thoroughly. then you'd follow with a polish (to remove any swirls or marks), then a wax or sealant. polishing is best done by machine (orbital or rotary polisher), which for most people means employing a professional detailer. there is far more science/technology to it than most people appreciate.
the vast majority of people neglect the paint. of course, it's difficult to be motivated to maintain a top quality finish if the car is a daily driver, exposed to extreme weather conditions. but there are other people who are fastidious, and do not think twice about constantly detailing their cars. it can be a hobby/passion, just like being an alfisti. plus, it can greatly improve resale value if the car is fully maintained.
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