After you wash and clay your car, then apply those first couple of coats of Z, feel the car's surface. You'll (hopefully) notice how smooth and glass-like the surface is. Your clean cotton towel should slide like its a hover craft. In the future, after you wash your car, feel it again. If it feels gritty or not as smooth, time for a clay bar again. The second and after times should not take as much time to clay. Don't just feel the hood, also try the panels just behind your wheels, where the sand and grit can accumulate. You don't have to clay the whole car if its just the rear panels. But if you do clay, you removed the Z as well, need to reapply to that area for sure.
Black in Arizona? OK, maybe don't touch the car except at night