It depends on what kind of clay it is and what you're using it for. I'd follow the directions on the package for heating etc...but with my experience with clay/sculpey it didn't need any kind of sealant.
Earthen based clays will need to be sealed in some way or another. They are slightly porous when dried and painting on raw clay can yield some uneven results (think terra-cotta pots). Sealing raw clay can be as easy as using diluted white glue, podgy or a spray sealer. Basically you want to create a layer for the paint to stick to and prevent the clay from absorbing it.
On the other hand, polymer-based clays (i.e. Fimo, Sculpey) can be painted right out of the oven and don't need any sealing.
If in doubt it is probably safer to seal the clay. That way no matter what you'll have a clean slate to paint on.