Id go for a medium grade, if you go fine you could be there forever and a day trying to work on one panel, and a harsh would remove virtually any contaminant but unless youve got a orbital or rotary to use afterwoods the finish will be smooth to the touch but look awfull in the sunlight.
Basically clay needs kneading because as you work accros the paint the clay picks up any imbeded particles that bond to the paint and cause a rough surface. Once there transfered to the clay there now on the surface of the clay thats working on the next section of paint. The clay is still removing particles from the next section of paint but at the same time the particles from the previous section will be causing damage to the clear coat ie marring, swirl marks or even bigger scratches.
Kneading the clay after every section brings a clean face to the clay to start afresh on the next section of paint with minimal damage. It also cuts down on the amount of swirl marks saving work later on, and makes the clay more manageable too.
Once clayed youll see the difference in the reflection, but youll be able to get better with a machine polisher, alot of polishes and waxes have fillers in them that will reduce swirl marks for a while but eventually theyll come back, Theres some really good machine kits out there that will get rid of them
Heres the one i went for, done plenty of cars with it with great results, can also use it for normal waxing and polishing too
http://www.cleanyourcar.co.uk/polish.../prod_409.html