I've attempted to skip clay and go for ultimate compound and the results are immediately disheartening as soon as you rub the back of your hand over the part. It will not give that pure smooth feel that starting out with clay will give you. You can clay fairly quickly and it's not something that wears you out. Your lightly gliding on lubricant, back and forth on the panel in circular motions. Then the UC will take you to that slick glassy feel that your looking for. Finish with UP and a sealant, allow it to cure overnight and final coat with a carnauba. I then do a final wipe with ultimate quick wax using a long knap mf and the paint is so amazingly slick and smooth that it blows your mind!
Clay is something that can not be stressed to much. It is the base that the other steps build off of. Skipping it tends to reduce the final product quality.
That's my opinion.