Compounding and polishing will not remove orange peel. Wet sanding will but this is not a task for someone who is starting to learn. There are plenty of videos on new car preps.
It is a good idea to use an iron remover to ensure that there is no fallout on the paint. You can judge from there if you need to clay. The car may be new but how long was it on the lot and also that it was in transit to the lot.
As far as compounding and polishing, do a test spot with the polish and see if the finish is what you want. If it is then no need to compound.