I was at a Meguiar's detailing seminar on Saturday and learned quite a few things that I want to try out when the weather improves. The basic order for exterior stuff is:
1. Wash car normally to get rid of heavy bits of dirt (don't use washing up liquid since the anti-grease compound eats your wax)
2. Clay (fingertip pressure with plenty of lubricant)
3. Paint cleaner (non abrasive) to get rid of heavier contaminants that the wash missed
4. Anti-scratch compound if needed (for light scratches you can't feel with a fingernail)
5. Wax (to replace what the abrasive anti-scratch stuff removed)
Obviously you need to dry, wipe or buff off each step as you go along, and the applications are all a little different, but that's the gist. Follow the instructions on the bottles
And remember, claying without washing means that any pieces of grit you pick up get rubbed all over the car and create new scratches.