Clay bar potentially can cause micro marring on some soft paint so you want to be careful as to not to be too aggressive. In addition, my understanding is that clay can remove wax. So if you do clay, make sure you wax as well.
As for your bug problems, its really simple. Drape a wet towel over the infected area and leave it there for a few minutes and wipe them off with some QD and MF towel. And always keep a good coat of wax on your car as the wax will make bug removal that much easier.