For a second there I thought this post belonged in the 'hot tub' section.
anyway.... I use some type of non-wax quick detailer (a.k.a QD on the board). I think most here will advise that you should use QD to decrease the friction as you 'scrub' the finish with a clay bar.
As an alternative (cheaper) to QD, you should be able to use a mixture of car wash soap and water to lube your claybar. Just mix some up in a spray bottle and go to it!