I personally think the Meguiars Smooth Surface Clay Kit is one of the best widely available kits to consumers. If you want something better and are willing to order online, go to PoorboysWorld.com and order their clay. It's a little more aggressive than the consumer grade clay so it'll remove more stuff.

Wash the vehicle, work one section at a time with the lube and the clay bar. Once you're done with that section, usually a 2'x2' section, wipe the lube off with a MF. Repeat this process until you've got the whole vehicle done. While you're claying, keep kneading the clay. Cutting it in half is also a good idea. I don't ever do it, I've never dropped a piece of clay either but for your first time it wouldn't hurt. Claying should only be done every 3-4 months depending on the area you live in and the conditions the vehicle's paint sees.