i use the 5x5 program, i warm up with light weight then go straight into my main weight and do 5 sets of 5 reps with the same weight. If i can do all 5 sets, i put the weight up 5 pounds the next week. If not, i do the same weight and usually get all 5x5, then put the weight up the week after.
I only do this for my main compound movements though, for example: if you're doing chest, pick one movement to do 5x5 on, i do flat bench for 5x5, then pick 2-3 other movements (dips, incline press etc.) and do 2-3 sets of 8-10 reps.