Don't do it on the plastic headlamps as most debris shouldn't adhere on the plastic the same as it does with the paint and the headlamps can be cleaned with a good glass cleaner. Just the paint is really what it's designed for but it will work on glass but I would only clay the glass if you have some stubborn debris on them otherwise just use a regular cleaner. With the wheels if you regularly clean them and take care of them they should never need a clay bar job.
It's mostly the flat surfaces of your car that are collecting the majority of paint damaging contaminants when parked and the crap in the air settles on the car.
With my glass I haven't used cleaner in months and when I'm drying them I use my synthetic Chamois and the windows come out perfectly clean and free of water spots.
I clay my car once a year and am about due here in a month or so.
'12 Focus Red Candy SE Sport 5 spd
'99 Toyota 4Runner Sport
'11 Subaru WRX STI Hatch