You should still clear it, if the car spends alot of time in the sunlight the gelcoat will eventually turn yellow. I still need to clear coat all my CF parts, I have been lazy with this, but since my car spends 98% of its life in a garage (and usually not even running...LOL) I havent gotten around to clearing it yet.
In regards to the polishing. Wetsand first, that should remove all of the heavy orange peel then polish with a fine cut polishing compound. Ideally you want to polish it with a buffer and not by hand, just keep the machine moving around, keep the part wet with compound and stay away from edges since thats where the clear is the thinnest. Also like I said before, you can wetsand it all and then do a quick polish by hand it will look OK, and then wait until the parts are installed and do a full polish of the whole car, this way the whole car shines and has a nice surface finish.