As Lol said, it's best to just do all your sets before moving on to the next, concentrating on doing all your big lifts first before moving on to those targeting smaller muscle groups.
Another reason to do all your sets before moving on to another lift is if you lift at a public gym, rather than at home. If you lift at a gym and you monopolize more than one piece of equipment at a time, you will be very unpopular with the other lifters. If you do this during slow times when you are the only person lifting, it's not a big deal. Depending on the rules of the gym, you may get in trouble with the management of the gym as well. They are real big at my gym on getting people who don't put away plates after they are done, monopolizing multiple pieces of equipment when there are other lifters there, and so on. So just be aware of that if you choose to go that route. Obviously with a home gym, you make your own rules.