If it's a critical error like hanging a piece with no compensation, explain why the move is a mistake ask why they made the move, and then explain why their line of thinking was wrong, etc.
Of course this is if it's a teaching game, if you're playing a game but you want to help the player, analyze the game post-mortem, yes.
Let say you want someone to improve, and you are helping him/her. When you play a game should you give a take back when he/she comitted a mistake? Or analyze the game later when the game is finished?