Dalton- I'd worry about hard-to-remove clay residue. Some of the recent posts about claying problems referred to entire cars being covered with tenacious residue. I've never had any clay-related problems, but I don't want any either!
IMO, working smaller areas start-to-finish will a) help you identify any problems before they become widespread, and b) give the clay residue less dwell/dry time, making the residue problem less likely to happen at all. I haven't heard anything about clay lube causing problems by drying on the finish, although it just doesn't sound like a good thing to *ME*- sounds like the sort of thing that might cause streaking of some sort.
If these problems DON'T happen for you, then there's no problem doing it your way. Another case of "whatever works for you". Oh, and :xyxthumbs on using plenty of lube.