This is about the anime characters. For the monster itself, see Clay (Monol Sub).
The Clays are first seen in Episode 10 where they run a dig in desert filled with human slaves. They use their black tar-like bodies to blend into the shadows at night, and after they are defeated by the Searchers, they return with Pixie's reinforcements to challenge them again. This time, they use Mickey, a captured slave, as bait.
Captain Clay seems very authoritative when he is with his troops, but when he has to report bad news to Pixie he always trembles with fear, and with good reason--when he finally tells her that the Searchers have helped the slaves escape, Pixie blasts him with a lightning bolt and kills him without so much as a second thought.
Apparently a few Clays survived as baddies after Moo was destroyed, and they help Mew attack the Searchers in Episode 67 to steal Moo's mystery disc for Durahan. They hold a special item for ransom and force Genki to trade the disc for it.