It does it for me by default in 3.5, provided the tab you closed was opened normally (i.e. ctrl-click won't do it).
Eg. If I click the link in my sig, it opens it in a new tab at the end of the bar.
Then when I close the tab, it doesn't come back to OcUK, which is my first tab.
Instead, it goes to the last tab in the bar.
You can change the behaviour with tab mix plus, it's under events and tab closing in the options menu.