It's a great product. If your having trouble getting the "showtime" off it's because you have little to no wax on your finish. It tells you this on the bottle.
If you haven't waxed your car all winter, you may want to use a pre-wax cleaner before using the clay bar or you will fill the bar up with "gunk" very quickly and not get many uses out of it. Also, the "gunk" doesn't just dissolve it is stuck in the clay so "knead" the bar often.
Yes, you have to wax your car after the clay bar or you just wasted a couple hours of work.