I think "we have all done" is better but "we all have done" is acceptable as well depending on the person, background and sentence. Example " We have all done the math exercises." I would take this like we all have finished math exercises.- I think this is what you are trying to say "We all have done math exercises." I think "we all" as clarifying that all have practiced or been taught math exercises. "Are we all done with the math exercises?"