Not usually. Clay is pretty soft, so the worst that would happen is you might get some clay stuck in the chip. The same hazard holds true for when you polish or wax. Rock chips are always getting full of crud.
However, on the topic of rock chips I will say that I have far fewer rock chips since I found Dr. Colorchip as reviewed in this forum somewhere. That stuff is awesome! It totally solved some chip issues for me much easier than any other method I'm familiar with. I'll post a review of my own one of these days. I'm just lazy when it comes to organizing the pictures to a coherent article sometimes.