You should only do it once or twice per year. Only use it more often if you have paint problems in certain areas. If you are waxing your car for the first time I would use it to make the paint very smooth and remove all the debris.
Before I use claybar I use a paint cleaner (other's use Dawn) to strip all the old wax and remove any oxidation. After that use the claybar, followed by your favorite polish/glaze/wax or anything that you fancy.
You might want to get the detailing guide from autopia for a good introduction to detailing.
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