Yep, the clay is supposed to aquaplane over the paint, make sure you warm up the clay first with your hands so it is nice and malleable too.
Then spray the panel and slide it over the surface (it should glide and not stick).
The contaminents should be pulled out/sheered off by the clay.
Check the clay regularly and when it starts to get a little dirty, fold it over and kneed some more to create a fresh piece.
If it is dirty, discard and get another piece (for a typical claybar like megs you can easily divide this into 2 or 3 separate pieces).
If you drop your clay bar, discard it.