Wrap clockwise - i.e. in the same direction as the tightening action of the nut. This means that you are also tightening the tape around the thread.
If you wrap anti-clockwise I find that the tape bunches up and comes away.
As for the number of layers - I usually wrap the tape around at least twice, maybe even three or four times.
For the correct number of times to wrap the tape, check the instructions on the tape package (that tiny little printing in white plastic you can barely read). It should tell you. Different manufacturers will have different specs on this (depending on the thickness of the tape).
I highly recommend the higher-density pink teflon tape. It is a tiny bit more expensive, but I have found that it stays put on the threads much better and seals better.
The pink tape I use (CFPC) says:
Using too much tape is bad, too little is bad.
Oh, and ditto what ChrisF said about wrapping the tape in the proper direction!
Personally I would recommend avoiding teflon tape altogether and use TFE paste instead. It can be a bit messy, but aside from that it's pretty hard to do it wrong - just goop the stuff on there and screw it together.
A good plumbing friend gave me a tip which is worth knowing. After wrapping the tape, run the back of a hack saw blade across the threads. This assists in the tape not slipping when you screw on your fitting
I watched a qualified person install my on demand water heater and he used the paste followed by the yellow Teflon tape. I would do the same if I had to do an installation on my own. This fellow is knowledgeable and a very good friend.
Do it 4 to 5 wraps around the pipe Hold the fitting with you left hand and the Teflon tape with the thumb Go up first For pvc and any metal pipe use Teflon compound so u don't put too much stress in the pvc fitting