I'll clear a few things up here...
For starters, to answer your question about claying: Clay bars remove phyiscal objects that have become somewhat infused into the finish of the car. These "things" are not removed with typical washing or waxing. It is usually s combination of metal shavings/rust, rail dust from transport, sometimes bird crap, pollen, and fallout. The claybar grabs these things OFF of the surface, without actually changing the surface of the paint itself.
A claybar will NOT change the "look" of the paint in the sense that it will have any harsh or compounding effects. It just helps to get unwanted contamination off.
Secondly, the KEY to claybarring a vehicle is a VERY thoroughly wash and rinse before claying. Then, be sure to work in a cool place in the shade, and use a LOT of lubrication. I like to use a spray bottle filled with very warm water and soap. works great.
the idea of washing it with dish soap may sound crazy, but there is logic behind it. Dish soap removes the wax because it cuts through it as if it were "grease." This isn't something you want to do often because some claim it can remove oils from the paint itself, as well as rubber and vinyl on the outside of the vehicle. Once a year and regular treatment and I'm sure you will be fine.
However, removing the wax first isn't necessary. It's optional. the claybar itself may grab some off as you work, but it will work fine with or without wax on the paint.
After all is said and done wash the car again and then be sure to re-apply a nice coat of wax within a day.
Good luck! [thumb]