If flying a published visual approach procedure then climb to the altitude indicated on the approach chart.
If flying a self positioning visual approach, ask the controller issuing the visual approach clearance as to both altitude and heading requirements should a missed approach have to be flown.
You can confirm the missed approach procedures, as issued by the approach controller, with the tower when initial contact is made. They may have changes to the missed approach procedures to assure separation from VFR traffic near the airport.