When researching keywords for SEO, how many keywords should I be including in a phrase?

1, 2, 3 or perhaps more?

I guess it depends what usually people search for?

When I create my search queries, i tend to search for 4 or sometimes even more words.

I would suggest you to chose the keyword with 3-4 phrases, they used to call those as 'long tail keywords'. When it comes to SEO, using long tail keywords has many benefits like,
# the competition will be less to long tail keywords than shorter (2-3 phrases) keywords
# we need to chose long tail keyword with descent search volume, then only we can achieve good ranking as well as traffic
# we have to chose our keyword after detailed analysis, in such a way that we should get the traffic for other alternative or combination of keywords
For example, if you use the keyword - 'read software books online free' keyword, you can get good ranking for other alternatives like, 'online book read', 'software free online books', 'software books online', like wise.

but you will do all these traffic and ranking, only if you do effective SEO

Using long tail keywords equals lesser competition, but of course you need to have competitive keywords:)

no less than two, with no "cap".

Often times, optimizing for a question can have great results.

2 or 3 words keyword is general, it is considered good but if you try to optimize long tail key word then you can optimize in short time and the result would be good.

2, 3 keywords in a phrase is nice. But sometimes have hard competition. Don't use single keywords they are very competitive and generally users don't search with single keywords.
Visitors use 2,3 keywords phrase for searching. Example: "Sunglass shop Sydney" they don't search the single phrase such as "sunglass".

For this purpose you must use Google Key Word Tools, as they suggest you in more profound ways that which how many key words are necessary for your respective site.

2-3 keywords per page is enough, its better to create fresh pages with quality content for other keywords.

I try to target two main keywords on one page and it works good for me, using more than 2 keywords is complicated for me and the content may also not be so good if you target so many keywords.

3,4 keywords in a phrase is the best option