Usually, compressing is the next to last step before mastering. I usually compress the instrumental part of my track 1st, then vocals. After that I make sure my final mix is sounding like I want before I master the track. But to answer your question, I compress the entire song, not just individual pieces. I mainly do demo tracks for local MC's. But if I know the track is going to a professional studio, I leave the compressing and mastering to them.
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