I used the cheap 3M clay bar from eBay too. Half a bar did my whole car with ease, the finish when wet should feel super smooth and after doing it for 10 mins you'll get used to the noise of a dirty area to a clean one (hard to explain) and also get faster. Like
@DFish says, keep folding the clay; this is most important as it avoids dragging the lifted grime back over the paintwork.
The first time I've ever clayed mine and the car looked better than ever, even before I'd polished and waxed.
Stu
PS. I use Dodo Juice - Born Slippy concentrate