That depends on what you are trying to accomplish. If just getting some chloride into the beer (a good idea) is it then it doesn't much matter when you add the salt. If pH reduction in the mash is a goal then obviously it should all go into the strike liquor. If kettle pH reduction is the goal then a portion could go into the sparge water or the kettle itself.
Adding CaCl2 to sparge water will not reduce its alkalinity or pH if that's what you are thinking of.