Yes, wash the car, then clay the car first, using it like a sponge on the dishes sort of motion. You will need a lubricant as the clay will just stick to the car without one. Water is fine, but I use the detailer on the other page as it makes it easier.
What the clay does is remove the roughness from the paintwork, all the sap and stuck on bits that waxing does not do. Then when you wax it, it ends up silky smoother. I was dubious about it, until my car went in for the front bumper to be repainted, and it came back with overspray over the entire car. Used a clay bar as instructed and it took 100% off it off very easily.
So I am one of the converted now. The only reason I did mine last is due to the bodywork still being rough even after 2 coats of wax.....I sort of fudged it a bit but still left a perfect finish, and did not remove the 2 layers of wax I just put on fortunately.
Take a look at this:
[video=youtube;yfEfLGL59GI]http://www.youtube.com/watch?v=yfEfLGL59GI[/video]