Yes I use styling clay occassionally and yes it is generally harder to wash out. I usually have to wash my hair twice with shampoo. Gel is easier to wash out. If you really want to try styling clay for yourself remember don't use too much its not like gel. Just a little will do.
Clays work best on short, dry hair. They're great for texture and a matte finish. As hurtinferhair says, they can be tough to wash out. You can get a similar effect with a product that's easier to remove, Paul Mitchell Tea Tree shaping cream.