Use a LOT of lubricant. Some recommend just having a bucket of car wash soap handy, but I just buy the cheapest quick detailer from the auto parts store and having a spray bottle in one hand and the clay bar in another makes the work go quickly.
Use a light touch. The claybar should glide over a well lubricated surface. It is like the old adage of letting the tool do the work. I start by tearing the bar in half and kneading it to get a pretty good size contact surface. Turn the surface of the bar often. When you can feel or see contaminants in the bar, throw it away and use the other half. I usually consume one bar per job and throw them away when done, treating the bar as a consumable.
Also watch out around ridges and high surfaces like styling ridges on the hood. I have found those ridges are the places where the clay can smear and stick. Approach the ridges slowly and work them with a light touch.
Oh, and before starting do the old "baggie test" where you insert your hand in a clean sandwich bag and lightly glide it over a clean and dry surface. You will feel the imperfections. Do it again after claying the car and feel the difference. I even clay a brand new car, it is quite surprising what contaminants can be on a factory fresh surface.
