I\'d like to know something, I know that to make your test easier you should use mock during unit testing to only test the component you want, without external dependencies. But
I'd like to know how do you do in the real world ?
In the real world there isn't a simple prescription about what to do, but there is one guiding truth: you want to catch mistake/bugs/test failures as soon as possible after they are introduced. Let that be your guide; everything else is technique.
A couple common techniques:
Tests running in parallel. This is my preference; I like to have two systems, each running their own instance of CruiseControl* (which I'm a committer for), one running the unit tests with fast feedback (< 5 minutes) while another system runs the integration tests constantly. I like this because it minimizes the delay between when a checkin happens and a system test might catch it. The downside that some people don't like is that you can end up with multiple test failures for the same checkin, both a unit test failure and an integration test failure. I don't find this a major downside in practice.
A life-cycle model where system/integration tests run only after unit tests have passed. There are tools like AnthillPro* that are built around this kind of model and the approach is very popular. In their model they take the artifacts that have passed the unit tests, deploy them to a separate staging server, and then run the system/integration tests there.
If you've more questions about this topic I'd recommend the Continuous Integration and Testing Conference (CITCON) and/or the CITCON mailing list.