You can use a clay bar, but you need A LOT of lube because otherwise it can mark the wrap and that's one mark you may not be able to remove ever. No reason not to though, I've clayed mine once with the AS clay cloth and it worked a treat.
You need to know what you're doing with the ceramic stuff, as it's easy to get it wrong and wreck everything. On paint you can at least polish it off and try again, with wraps you're a bit knackered if you get it wrong. Needs to be done indoors and on a cool-ish (i.e. not freezing but not like an oven) day. Probably best left to the pros if you're not confident, I've done a couple now on paint and it's been fine but I have been nearly caught out a couple of times, and there was a panic to correct in time!