In the context of LR3, "sharpening last" means Output Sharpening that you set on the Export or Print page. Operations in the Develop module can be set in any order.
Clarity and Sharpening need to be set according to the subject matter. For a landscape with fine detail that is important, use high Clarity, a smaller sharpening radius and a high Detail setting. For a close-up portrait of a woman where you don't want to emphasize every pore, pimple and wrinkle; low Clarity, high radius and minimal Detail. High ISO and noise are another factor; Clarity brings out mid-range detail and noise together with it, as will unmasked sharpening.
A lot of times you will need to go back and forth between Contrast, Clarity and Sharpening (and possibly NR) to find the right balance between them.