I had this same problem and unfortunatly we did not find a way to do this other than wrapping all of the procedure calls into one stored procedure.  When we had to call a sp several time we simply built a function to loop through the array until all the values had been entered.  Once completed the code would then move to the next call.

the only other thing that was considered was to build a procedure that could undo the data changes made to a table should an error be returned.  However it ended up being too complicated.  How it worked was at the end of each of these procedures we would check for an error and if there was one we would execute a procedure to backout the previous change based on the passed in parameters.