Another vote for iron remover first (after washing), followed possibly by clay, and then possibly by polish, and then absolutely by wax or some other protectant. Adams iron remover doesn't smell very bad, in my experience.
If you clay before using iron remover, you will likely have to make more passes and/or apply more pressure to remove the metallic contaminants--not good, since that can mar your paint or at least make the process longer and more tedious.
A full paint correction, as I understand it, is: wash, decontaminate, correct, and protect.
Wash is self explanatory; if you are doing a full correction, you may want to use a strip wash to remove prior sacrificial protection layers (wax, sealant, coating).
Decontaminate is where you remove what washing leaves behind, and is the job of bug/tar remover, iron remover, and clay--with clay as the last step. These will likely remove what is left of any sacrificial protection layers. FYI, synthetic clay, which is sold either in bar/pad and towel format, is much easier to use than natural clay.
Correction is the job of polish and/or compound, and is where you level any imperfections in your clear coat from driving and from the prior steps.
Protection is also self explanatory. A high quality protective layer, combined with proper maintenance, should reduce/delay the need for future decontamination, etc.