I usually do 3 exercises per body part and 4-5 sets per exercise. On the last 1-2 sets per exercise I will train to failure everytime. I lift w/ a partner and usually will do 2-3 reps w/ his assistence after I can't do any more on my own.
i do on the last set of every exercise. I also do a drop set for that same set. example. for bench, my last set i'll do 365 to failure, then drop it to 225 then to 135 - each set to failure. great burn