With a brand new car there is probably no need to use the clay bar just yet, unless it's been stood at the port for months and months which is unlikely.
In terms of sealing your paintwork, the only product I have ever used is Jetseal 109 and it is fantastic. Ideally you need to give it a couple of coats, and if you can, leave one coat to cure overnight in a garage. There are other products around though.
In terms of a wax on top of that, the Colli that you already have should be OK, or you could splash out on some Dodo juice or similar. Give it a couple of coats to layer it up.
If it was me i'd also be taking the wheels off the car while they are new/clean and sealing them up with the Jetseal, then topping off with a 2 or 3 layers of Poorboys wheel sealant or you could use the collinite.
Be aware that some of the dealers have some right cowboys in there doing the PDI wash and de-wax on new cars. This is more of a problem around the time you'll be collecting the car because there are lots of people wanting their new car on the first day of the plate change so the dealers sometimes get contractors in who won't give your paintwork much love.