What does one do if he remembers a missed prayer while he is praying an obligatory prayer?

If a man is praying the 'Asr prayer and remembers a missed prayer that he had forgotten, what does he do? Whether it is similar to the 'Asr prayer in number of units, or fewer, like Maghrib or 'Isha'?
He breaks off the prayer and enters the state of consecration again with the intention of the missed prayer. He breaks off this one and says the takbir again with the intention of the missed prayer, and he makes up what he missed.