Mine in dirt using crafted spade, fastest if using tin spade (2 strikes for contented dirt, 1 strike for regular). Clay is grey, and sometimes mistaken for clay in stone when originally coal.
Clay can only be used in crafting red bricks on a kiln or electric kiln and red dye in a press, it can't be placed on ground or on table. It can only placed in chest, golden chest or shelf. Clay can also be created in a press with 1 dirt and a bucket of water.