In a web application, we do not have access to the Console.

And quite often, in order to share a class across the entire web
application, we put it under App_Code.

Normally, classes placed under App_Code do not inherit
System.Web.UI.Page, and therefore do not have access to Response.Write
or any of our Web controls.

Nor do we have a console.

So, here is my question:  How do we handle exceptions thrown from, for
example, App_Code\MyClass.cs ?

Should we say something like below?

try
{
// blah blah
}
catch(SqlException se)
{
  throw new Exception(se.Message);
}

Thank you!