Using a Try/Catch/Finally within your Script Components and Script Tasks is just good coding practice. The thing you want to be able to do is push any errors you trap to a log file. The syntax is somewhat simple, but it took me some time to research it and it differs depending upon whether it's aComponent or Task. I'll go over each.
Within the Component there is no access to the Dts object, so you need to work through theComponentMetaData object as shown below. Please note the pbCancel is defined as a bool at the top of my Component.