Holding my breath throughout parts of a set has always given me trouble, and I can't imagine why anyone would ever suggest it. It has even given me blinding exertion headaches that have obviously been remedied by proper breathing techniques. Sure, you should breath in on a descend and hold it temporarily for correct posture, but upon ascending, breathing out slowly while keeping your abdominal tight is really what makes most sense. You're working your muscles, and they need the oxygen, so holding your breath is a quick way to end up lightheaded. You don't hold your breath on a treadmill, do you?
As Hal said, whatever works best for you, as long as posture and form aren't sacrificed.