That part of the library is fairly low level and has a mostly one-to-one correspondence to the C API.  This means that you should be able to more or less read an example of how to do it in C and just translate that to the functions you see in Graphics.Win32.GDI.Clip.

In other words, try this example:
http://www.codeproject.com/KB/clipboard/archerclipboard1.aspx

Now, on a stylistic note, I think most people who do Win32 programming avoid directly using GDI.  It's older, low level, and sort of "primitive".  So, usually you'd use a different library that wraps around GDI.  At least, that seemed to be the case when I last looked for resources about GDI programming.  Perhaps it doesn't apply universally (my example usage was with fonts).

Jason