Hee hee -- I found you here, Laurie!!
No, don't move the question - it's a good one for right here.
When you reach failure, that set is DONE. You don't ever go back and do any more reps in it. Nope, take a rest and go on to your next set. Sometimes it's good to go into a workout without any preconceived notion of how many reps you're going to do at a particular weight; just go as long as you can (but pay attention to how many reps that ends up to be since that will tell you if the weight is too heavy or too light or just right).
Using your example, you do your warm-up set of 12@35 and stop there, since you've got more sets to go and you aren't trying to burn out on the first set. Second set - do the 15@40 and stop (you still have two more sets to go) OR you could go to failure. Third set - use 40 and definitely go to failure - it doesn't matter if it's 6 reps or 15 (if it's more than 15, that's telling you the weight is too light). And the same thing for the last set - take a rest and try 40 again and go to failure. See how the third set compares to the fourth set - usually you'll get a few less on the last set, even if it's the same weight as the third set.
Another way you could do it is like Nelie suggested - to increase the weight for each set, so you'd do your warm-up set @35, second set @40 to failure, third @45 to failure and on the fourth, you could try 50 to failure. You'll do fewer reps each set since the weight's increasing every set.
I try to pick a weight that I go to failure with after 10 - 15 reps. Sometimes I'll go heavier, so that I end up with 8 - 10 reps, but I don't usually use a weight that I can do more than 15 reps with unless I'm warming up.
I hope that helps a little!