It's tempting to attack until every last army is spent, but that's usually a bad idea. As your numerical advantage declines, so does your statistical advantage; at some point (which point depends on the version of the game you're playing), it becomes a statistical push. In general, you should stop somewhat before this point and concentrate your armies to the extent possible.

The payoff for this strategy comes in the next turn. Remember: the larger your numerical advantage, the larger your statistical advantage. By preserving armies this turn, you give yourself the chance to build a larger concentration next turn, which means a larger statistical advantage, which means more chance of winning.