Since you're working with Eclipse, I assume you've installed Counter Clockwise, the Clojure plugin?
Here's my workflow:
Use Leiningen at the command line to create a new Clojure projectIn that project folder, run: lein depsIn Eclipse, create a Java project based on that folderRight-click on the project and Enable Clojure Support
Now
you should be able to right-click on the project and Run As... Clojure Application.
This will start a REPL window. If it says there are errors in the build path, right-click on the project and (re-)configure the Build Path (either under Properties or Build Path... depending on your version of Eclipse and/or which perspective you're in). You need to update the Build Path whenever you add dependencies to your project.
Open a Clojure source file and then look at the Clojure menu to see what the shortcuts are for Load File in REPL, Switch REPL to File's Namespace, and Evaluate current selection..
These are different between Mac and Ubuntu. Not sure about Windows (I don't use that).
Now you can write code, Load File in REPL, Switch REPL to File's Namespace (which also puts the cursor in the REPL) and then run code. Ctl-Up / Down arrow should cycle thru the REPL history so you can retrieve stuff to copy and paste back into your source editor.
My workflow is usually to work mostly in the REPL as I evolve a function piece by piece (it's useful to know that *1 is bound to the last REPL result, *2 to the previous one, so you can apply functions repeatedly to the previous results). As I get each little piece working the way I want, I copy it into a function in the source code and maybe flesh it out a little more, then Load File in REPL, Switch... and go back to working in the REPL.
Since I tend to write tests a lot, it's particularly nice to be able to copy some pieces of code into my test files and then I can easily run those with Load File, Switch... and evaluate
(run-tests).
If you're not using Leiningen, you can skip the first two bullets and just create a new Java project and Enable Clojure Support. CCW will add clojure.jar to your project (you may have to add it to the build path).
Hope that helps?