I have been claying cars for a long time I have never needed any lube, water has worked just fine
The only way you can scratch is if the clay is contaminated or the surface of the paint is not 100% clean
And also if the car has a bad case of metal fallout that can cause scratches when using clay ( if you have not used a good fallout remover first), but its nothing that cant be sorted with a machine after.
I have only just recently bought one of these clays mitts and was very dissapointed,i had to resort to the old fashioned way as it just didn't do anything,but having said that it was a £8 ebay thing so maybe I will try another brand.