If you don't properly clean things such as tar and other contaminates from the vehicle before you clay, all you are doing is contaminating your clay bar. I use the CM2200 Clay Magic bars and replacing one prematurely is not cost effective. Remember, clay bars were designed to remove rail dust, overspray and IFO. Use a tar remover for its purpose and clay bar for its and everybody saves money!!
you do want to get rid of as much "crap" as possible before using your claybar. They are pricey - and depending on the level of paint protection you have, the kind of bugs, how long they have baked onto the finish - different products will work differently.
The same is true for road tar etc - but in a pinch, the clay bar will take care of things - and sometimes price aint the point.
I have enough Zaino on mine - that a decent "spot wash" followed by a quick claybar appl on the fron cleans it up after any bug infested trip.