IMO, use light weights to begin as a warm-up. You want to be lose for your working sets, but you don't want to have significantly fatigued your target muscles before you begin them! Although many people enjoy it, I don't advocate the pyramid loading (ex. BB Bench @ 225x5, 250x5, 275x5).
If I am doing a set at 225 (for, lets say, 10 reps), I would do a light jog for about 5 minutes, then warm up with 115 for 5, then ~150 for 5, then get right into my working sets. Some might say this may increase the likelihood of injury (due to jumping from 150 to 225), but I have never experienced any problems with it.
Once you've done your working sets you should be done -- unless you're doing a drop-set or something similar (which should only be done with one exercise for a muscle group, if you are doing one at all -- I don't). So ultimately, I would say very light --> light --> working weight (heavy?) --> finished! Good Luck to you.