A little surprised you haven't gotten any responses on this. I have the Nanoskin mitt and haven't used clay since starting. Yes, you will want to "break in" the mitt on the glass (I use the rear window) - it will only take a minute. If you're not sure - just do it one more time.
I use it at the end of the wash process for each panel (rinse, wash with soapy mitt, rinse, soap up panel again and go over it with the Nanoskin, final rinse). I keep the NS mitt in my "clean" bucket, and make sure it is sopping with soap. I have the NS Bubble Bath that seems to work fine, but any quality auto soap will work. I would have no problem using Meguiars or Duragloss - I just use a little extra soap in the bucket to really bring up the lubricity.
You do not need or want to bear down on the Nanoskin. Just wipe it back and forth several times with your hand in it or on top of it. If the panel is badly contaminated, you will be able to hear and feel the grit being picked up. When you can't hear it or feel it any more, you are done with the panel.
I find that once or twice a year on the horizontal surfaces of a well maintained car is good enough, and every other year on the vertical surfaces.
Good luck and have fun!!
https://www.youtube.com/watch?v=v7n0SDeJJ1A