I've been looking and I can't seem to find an area to set a clip to play before each video is played. Is this possible? And if so, where might I find this?

PreShow only works with local media and doesn't work with media from other addons.  Also, PreShow required that Kodi be restarted after it in installed before the context menu will show up.

Here are the steps to get started: 

1. Go into PreShow (Addons > Program Addons > PreShow Experience) 
2. Click New in the top left
3. Click Edit Sequence
4. Move to the left and click Add:Video
5. Then click Edit
6. Select the type of video that you want to play. 
   1. If you have your content folder set up in settings you can select a specific type of video that you want to play.
   2. Otherwise, select Directory or Single File and select the directory or file that you want to play.
7. Click escape to go back to the main menu
8. Enable Auto Select
9. Click save (3rd button from the top left) and name is something you can easily remember
10. When opening your movies, open the context menu and select PreShow Experience.
11. Make sure your sequence that you saved in step 9 is selected.  If it isn't, click the name and select the appropriate sequence.

That will launch your movie with your clip to play before it.

Thank you, Matt. This is exactly what I needed, and I was able to make it work. Is there any way to set this up so I can click on a movie and it will default to preshow experience and run the customized sequence automatically, without having to navigate to preshow experience > "Start pre-show"? Thanks for the help!

Unfortunately Kodi doesn't allow anyone to modify the action of the play button.  There are 2 things that you can do to minimize the disruption though.

The 1st is to go into the PreShow Settings > Playback and turn on "Hide queue editor."

The 2nd is to use a skin that has PreShow built into it.  They each handle it differently, but there's usually a button in the movie info screen to launch PreShow.  In the estuary screen below, you can click on Cinema Mode to launch PreShow.

 

Here are the skins that I know work with PreShow:
https://preshowexperience.com/files/category/7-skins/