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It's not a problem really to use the blade on the glass (i.e. the windows) but I wouldn't use it for anything other than that.
This is a good towel to go for - http://www.cleanyourcar.co.uk/washing-and-drying/miracle-dryer-ultra-plush-25-x-36-/prod_362.html
As above, the panel your claying should be wet enough for the clay to basically glide over the paintwork.
Don't drop the clay, if you do then bin it.
Typically you need to split the clay into 3 pieces as well.
Darren S had the worse experience with clay that I've seen but he's removed the...
Contact them with the spec of your car (i.e the mods) and then they will recommend the files. It seems the RON99 files are the favourite ones at the moment.