Did you have the spots before the wax or afterwards? I know that sometimes if I get some drops of rain or from a sprinkler on my car right after a wax all I have to do is wipe them down with some water and then go over it with my chamois and they're gone. But if you had them in before the wax then definately go for the clay bar.
I think they were after the wax. I had water spots before the wax, but I had a shop polish it over fully twice before putting on wax. I didn't see any water spots after the wax was applied. They did say it was a lot of work to remove them.