Before you begin, you should know...

It is important to know some characteristics of clay pipes as opposed to one made of wood or other materials if you intend to smoke with your pipe. Some types of clay are known to get hotter than other typical tobacco pipe materials, so be aware of this while lighting your pipe so as not to burn yourself. This can be easily avoided by puffing slowly rather than at a rapid pace.
Another thing to note is that certain types of clay may slightly alter the taste of your tobacco during the first few times you smoke with them. This should work itself out after the first few uses of your pipe, and the tobacco’s taste should return to normal.