There are three basic levels of clay. Fine, Medium and Aggressive. Pinnacle Ultra Poly Clay, for example is a fine grade clay, which is very gentile on your paint.
My recommendation is to use a medium grade clay (the majority of whats out there) to remove embedded contaminates before polishing, and a fine grade clay as necessary, as maintenance after achieving a swirl-free finish.
It is possible to mar the paint when claying, not a big deal if you are about to polish. After you polish your car, if you keep it swirl-free long enough to need to clay again... you have good wash/dry technique. :xyxthumbs: