Take off your rings, if any.
Use plenty of lube. What brand will you plan on using? I use Mother's California
Gold detailing spray and it works GREAT!
Keep the bar away from the soft rubber black trim.
Don't be afraid to rub moderately hard (again, with plenty of lube, the bar should NEVER drag on the surface). Even rubbing harder, the clay should just glide very easily, like ice on ice. If you are leaving ANY clay behind on the surface, you are not using enough lube.
Fold the bar over on itself after every section, so that you have a clean bar to start with.
Do your windshield too.
I use Griot's Garage clay bar, and I've found it to be one of the best. Very sticky and softer than some others I've used, and it picks up a lot of crud out of the paint.