it's correct. You can also say: I went to Paris on the last week of my holiday BUt if you want to emphasize when it happened, your sentence is correct.

There are 3 Prepositions of Time: at, in, on at..... is used for a PRECISE TIME e.g., We will meet at 6 o'clock / at noon / at dinnertime / at bedtime / at sunrise in...... is used for MONTHS, YEARS, CENTURIES and LONG PERIODS e.g., We will meet in May / in the summer / in 2011 / in the next century / in the past/future on...... is used for DAYS and DATES e.g., We will meet on Sunday / on Tuesdays / on 6 March (March 6th) / on December 25, 2011 / on Christmas Day / on my birthday / on New Year's Eve Sometimes a preposition is not required: We will meet (when?) tomorrow / next week / next month / next year. We will meet (when?) later. We will meet (when?) after I finish my work.

hope you had fun! :P

or maybe it'd better if u say it in this way: I've been to Paris during the last week of my holidays. I'm not so sure, cos "lask week" is a period of time?

It's not natural or correct. Say In the last week of my holiday, I went to Paris or during the last week of my holiday, I went to Paris