When I'm running scripts like this I make sure that the failure notices print ****FAILURE as this standard out like a sore thumb when the output is echoed to a file.

The other thing to consider is whether a RAISERROR would be a good idea because if you run it using SQLCMD.EXE then this allows the windows command file to make use of %ERRORLEVEL%.

It depends on what you want to do. In some cases I want the script to work through reporting all errors. In others I want the process to terminate at the first sign of an error.