The Bag Test
If you're ever wondering if this step is having any real effect, or if you want to check and make sure you've completed the process before moving on to another section - try the bag test. A simple sandwich bag will do the trick. Put your hand inside and run it over a section of paint that you haven't yet clayed, then run your hand over a section that you treated with clay.
The results are astounding! It's hard to believe that much contamination can be on a "clean" car. When the whole surface of your car is as smooth as glass, you're ready to polish and seal.