Using a whole bar of clay for a detail is wasteful, imo. I actually tear my clay bars in half, or even into thirds, depending on the size of the bar, and then use each torn off section a few times before throwing them away. I get a lot of details out of my clay.
You can clay as often as every wash if you want, there is no limit to how often, but just remember to be VERY gentle while using it. Just like everything else, the least aggressive method is always the best. If you just let the clay glide over the surface with little to no pressure at all, it will pick up the contaminents without removing your wax or sealant.
On the other hand, if you only clay once a year, and have to really bare down on the clay to get all the trash off your paint, you will more than likely strip everything off and have to start from scratch with the detail.
I, personally, like the first option. I clay a lot, but I clay so gently that it barely even touches the paint, and rarely have to follow up with any kind of protectant, unless I want to, of course.
Something else to remember about clay is DO NOT DROP IT!!! This is also another good reason to tear off small sections of clay instead of using a whole bar. If you drop it, you can throw it away and not have to take such an expensive hit in the wallet.
The question of "do I need to take the existing wax off", no you do not. There is no reason to have to remove any protectant of any kind, unless you are purposely wanting to remove it for some reason.
Hope this helps.