You only had to do that in Prologue, not GT5. Like previously stated, the clutch is automatically "on" when you are in mode to use the gated shifter and "off" when you are using the flappy-paddles.
during a race, so when your driving.
Keep your foot on the clutch and press the left down shifter on your steering wheel,
that will engade the fully working clutch system and also gives you neutral with the shifter wich the triangle thing dasn't