There is no need to dry before claying. I don't think it's even necessary to rinse. You can use the suds as lubrication for the clay. You'll want to use DS or diluted Rinseless wash for lubrication as well. When I have done it, I washed and left wet. Clayed with the mitt and DS. Then rinsed everything off and applied HGG. I'm sure many others will chime in but this process is typically what I have used and heard other suggest.
Bscott94's post in H2O Guard and Gloss and Claying was marked as the answer