I thought Our Lady of Fatima specifically requested that this little prayer be said at the end of each decade of the Rosary: "O my Jesus, forgive us our sins, save us from the fires of Hell, and lead all souls to Heaven, especially those most in need of Thy mercy."
I've grown so used to it in the more than 40 years since I learned it that I automatically add after any Gloria Patri, in the Rosary or not.