Its not necessary to use the speedshine when you clay your car. what you should do is put a couple of drops of car wash soap in a spray bottle with water and use that. the only thing you are doing is providing a lubricant for the clay. I like to do it this way, as Speedshine is relatively expensive. Its an AWESOME product though, and it smells good.
As far as taping, the only reason for tape that I have found is to protect pieces of your car that you do not want to get wax on. such as, molding, windshield wiper arms, headlights, etc. it just makes the final product look that much better, because as you probably know it is very difficult to get dried wax off of plastic and such. I've also seen people mask of the spaces between body panels so wax doesn't get in the cracks. This is a pretty good idea and the next time I wax my car i'll do that, because trying to get wax out of cracks in a PITA!
EDIT: Its going to be nice this weekend, maybe a detail meet somewhere???? I don't have room or I would volunteer my house.