Lamb Chops;
Yes mate, i second what Frayz said above. When we detail brand new cars, they require a clay, so chances are, even with fresh paint, you'll need this stage. It guarantees that you have a nice finish to start working on, and all the products you use after this stage will work to the best of their capacity. If you're concerned, you can use lots of lubricant, and just use gentle pressure on the clay - you won't do any harm.
As Frayz said, clay bars are sensitive. If you do drop it, please don't be tempted to keep going - sods law will dictate that you'll drop a brand new bar, but if you do, it must go in the bin...
If the car is garaged, and you don't do a lot of miles, you won't need to clay more than every 6 months, probably less. If you park outside, live near industry, or do lots of miles, you'll need to clay more. Keeping the sealant and wax topped up helps protect the paint in the meantime.
HTH mate,
Gareth