The clay was a nightmare for me aswell when I first got introduced to it ... now I know the method.
You really have to take your time, and focus on a panel at a time.
Spray/keep the panel/area wet consistently, whilst rubbing back and forth with a nice bit of clay, giving a bit of elbow grease where neccessary to remove visible tar/microscopic dirt from the paint. And then test the area by buffing off with a microfibre cloth and running your fingers across it to see if the grainyness(?) has been removed.
And when you do the whole car, you'll see extra glossyness because the sealant, polish, glaze and wax can embedd itself in to areas it couldn't before.