I get hornswaggled by the local grocery on spices all the time, but using powder works just as well.
If I'm making a rub that has components that have different grind size, I usually either:
a) make a slather, which kinda' nullifies the whole clumping issue altogether, or
b) apply the "rub" in stages, starting with the more coarse grains (long grain herbs, kosher salt, cracked pepper, cane sugar), and moving to the more fine grains (garlic and onion powder, paprika, cayenne, chili powder, etc.). Starting with the more coarse grained elements seems to help with clumping of the finer elements after the rub starts to soak up the juiciness, and you get fewer concentrated spots of powdery stuff.
You could always take your other spices and grind them down to powder as well, but I find that getting the whole rub too fine will most def. result in clumping.