You only really need 1 set spell/trap to stop that last-turn attack. I use such a method all the time for farming. Your remaining LP also don't matter, as I've pulled off this trick with an Elements Unite! deck that has 500 LP by default. You just need 1 set spell/trap, 1 card left in your deck, and 1+ cards left in the opponent's deck and they won't attack you.
Guys, what about using another Dimension Gate to activate on Vassal so that if Kaiba attacks Vassal, you just activate Dimension Gate to protect him. After that, in the last turn, activate storm to destroy the two "Dimension Gate" and restore Vassal and Labyrinth Wall!