Sujud Sahw

As-salamu `alaykum. If I forgot to do something while praying, for example, sitting in the second rak`ah or any other thing that might be forgotten while praying, what should I do? Should I start all over again?

as-salamu `alaykum. I want to present a scenario: if a person joined a jamaah late i.e third rakah, and whilst praying the imam makes a mistake. So at the end of the salah the imam does one tasleem and then does the suju sahu and then concludes with the two tasleems. My question is what should the late comer do should he do the sujud sahu with the imam even though the imam made a tasleem or get up and continue his salah.