Welcome. Typed fast, forgot to complement - apply protection afterwards. I like using Glass Coating, however many spray waxes I've used worked well, just don't rely on it's durability (needs frequent reapplication).
To remove bugs from windshield, I may use a 'Safe Scrub Towel' or even Sonax bug sponge (they are a 'mesh' type of towel / applicator) instead of the clay / nanoskin thing.
Nanoskin will also remove bugs with tremendous ease, but then the marring (it's very fine, but can be seen on different light conditions), if I'm only doing a maintenance wash (no polish afterwards), I'd stick with bug towel.
Just a tip to give you more ideas, the bug towel is also great for maintenance after you detailed glass.
More tips? Wash the car (and glass, sure!), and when rinsing, get your nanoskin and using the free flow of water (or a shower type nozzle) as 'lube', clay the glass.
NOTICE: This is different from recommending 'Plain Water' as Lube for Nanoskin. I'm talking about Flowing Water, well, if you could understand my Brazilian English, you may test it and see for yourself.
One more thing, I'd never use water alone in spray bottle to lube nanoskin, this may cause even more, and unnecessary marring. Again, talking about the Flowing Water as Lube.
Cons of this method: Not the most environmental friendly approach.
Pros: All the rest.
Kind Regards.