I find it depends on the weight. If I'm doing sets of 8-12, I do it the way Tribulus suggested. However, when I'm moving heavy weights (singles, doubles etc) I find holding my air to be essential to keeping 'tight' and completing the lift.
The exception is when you're talking about curling on a bosu ball. Then the protocol is to take a deep breath before you begin, hold it, and then keep holding it until you die.... it's more functional that way.