Linda:
I always do a third set. I'm anal about completion and making all body parts rounded out and worked the same!
My shoulders are pretty much fried by 2 sets but I push through a third with a lighter weight. I am seeing wonderful results. I have visible definition in my upper body through using S&H. Nothing else works like this for me.
But the decision whether t odo a third set or not is totally optional. For example, Cathe does push ups after chest and tricep dips after all that tricep work. I do neither. I go as heavy as possible with all exercises and I would simply not be able to do the push ups. I could do the tricep dips, but I reckon after 3 sets of 8 for 3 separate exercises, I've already worked my triceps enough. Also, doing them when I'm that tired, I tend to cheat by lifting myself with lower body muscles rather than triceps alone!
Clare