I prefer to wash, but it would really depend on what the lube is. Does Meg QD contain waxes or not? Does it contain anything else that would interfere with the wax bond to the paint?
I would also add between 1-3 steps of swirl removal or polishing between claying and waxing depending on the condition of the paint, but that's just me.
I clayed and polished this past weekend. I've taken to claying as part of the washing process since I've always had a problem with using a special $10/bottle clay lube on a dry car. I will wash the car thoroughly as normal then make a fresh bucket of higher concentration wash solution and "apply" it with my wash mitt. I'll then clay one panel at a time with the soapy water still all over the car and use a trigger sprayer with 10:1 (or so) soap solution wherever I feel extra lube is required. Hose off, dry, and start polishing.
Never any marring, no expense on special clay lube, and no risk that whatever is in the clay lube interferes with the rest of the process. This time I was using Meg Gold Class wash which I got on sale a while back. I noticed very, very little clay degradation.