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Most people do multiple sets on one machine then move to the next.
Two issues:
1. Time taken to adjust machine. (minor issue). If you only do 1 set, you are continually changing the machine beck to how you want it.
2. The sequencing of exercises (major issue). You should sequence your exercises so that you do compound exercises using bigger muscle groups before doing isolation exercises on smaller muscles. You want to avoid tiring out a small muscle which then limits your ability to challenge a larger muscle. For example, if you did bicep curls before you did chin-ups, your biceps (a small muscle) would be fatigued, stopping you from fully exercising your lats (a big muscle) in a chin-up. For another example, you should always do all your bench presses before your tricep isolation exercises. This usually stops you from being able to do complete circuits, as you would end up doing some of your bicep curls before some of your lat pulldowns.
However, changing machines after each set allows more time for muscle recovery, allowing you to pack more into each training session. What I do is exercise opposite muscles in pairs, and work my way from big to small. So I alternate between abs and squats (3 sets of each), bench and chinup (3 of each), bicep curl and horiz lift (3 of each). With about a 1 minute gap between each set, each muscle actually gets to rest 2 minutes.
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