Watering clay soil..

That's the problem with clay - it can hold water where you least expect it. I'd not water regularly because you'd only get shallow moistening, which encourages shallow, weak roots. Better to water once every week or two and give it a good long slow watering that can go down deep where needed. Drip irrigation or soaker hoses are good for this, set on timers. If you don't have a bad slug problem, mulching with straw is very helpful in dry weather, especially clay which can crack - and then you know it's really dry. 

Excellent, I'd rather not water daily anyway, what about newly transplanted plants and seeds? I'm trying direct sowing a few veg's this year...

apart from peas which majority can be sown directly, i would grow other seeds in pots or trays to nurture the roots and grow them big enough to survive outside. done this with most of the things i have grown and everything looks quite positive.

A trip to the poundland shop will do wonders for finding cheap pots 

AS others have said "soak, relatively infrequently".  I water my veg once a week.

If in doubt dig a small hole with a trowel 6" deep or so. How dry is it down there?