Easy to use, keep it lubricated and you wont mess it up, the added bonus is that

a) your not polishing grime into your paint once clayed as the grime is gone
b) your paint will feel silky smooth and polishing is then made easier as there is less friction from grime etc, so less elbow work.

I used the meguires kit that comes with the bar and the detailing lube spray for under £20.

Youtube is full of vids to give you some tips. My main tip would be to keep a good hold of the clay bar when using as it is easy to let it slip from your hand and you wont want to be using a bar that has hit the floor on your paintwork.

I also use things like tar spot remover first, you dont have to but I prefer to remove as much shite before I use the clay bar.