Clay bars are great for all smooth surfaces of the vehicle.
Like you said, glass, moonroof, headlights, grille and wheels.
Try to avoid rough surfaces, the clay will get caught and tear, as well as it getting stuck on these surfaces. (Think of surfaces similar to rhino lining)
The key to clay barring is to make sure the bar is CLEAN and to use plenty of detailer spray. You don't want to use it on your wheels and then go and use it on the headlights.
Clay bars do not last forever. After many uses they become more difficult to keep clean. So as long as you are aware of how much tar/bugs/road grime you are taking off the car, you should be ok.
Hope this helps.