clay bars are mainly used as the first part in paint correction ( after a good wash). this is used to trap surface contaminants into the clay, avoiding the dirt nibs being chucked around causing further scratches.
i do commend your attempt using a DA for wet-sanding, however i would advise against it for now until your very familiar with using it and have a good water source. I have and will always use a "soft-bloc " you can find them even at wall mart (used to be near the sanding and bondo crap), keep pressure even and criss cross pattern alternating and using lots and lots of water.
your issue with the paint not being a high luster may be rooted into the paint. You used a enamel based paint if I'm not mistaken and how long has it been since you sprayed? Anytime that I've used enamel ( mind you it was automotive based single stage enamel) you can get a good shine off of it but not like you can with even lacquer or urethane based paints. Another part of the issue is possibly how many coats you have applied and in what time frame. I spray Enamel based paints all the time on glass substrates and more often than not you will develop a surface haze that occurs when the previous layer did not out gas its solvents ( not enough to cause solvent pop but enough to mudd up the surface). For instance I use the 8min "quick-dry" stuff in the rattle cans, even if i allow 15min for flash off / dry time in between coats it still remains gummy. I even tried lightly cooking the painted glass in our environmental chamber up to 100F for 3-4 days and it barely hardened. possibly a reason you are able to knock down the orange peel but unable to get a high luster.
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