The Meguiars and Mother's web sites have streaming video clips that go into detail on this application. The Griot's Garage catalog is another big fan of using a clay bar.
After washing your car's surface, you spray it with a lubricant such as "detailer" and slide a flattened piece of the clay over the paint. The clay will pick up bug residue, paint overspray or other surface imperfections without removing any paint. Using an abrasive cleaner removes a small amount of the paint or clear coat. Another advantage of using the clay bar is that it is supposedly a fast way to clean the surface.
I've used a clay bar and I've used Meguiar's Paint Cleaner to prep the surface of my Accord before waxing. Both make the job of waxing easier and enable the wax or paint sealant to last longer.