Typically yes, that's what you see out on the net, but I would have to disagree with this method. IMO there is really only two common cases to use Try/Catch, that being the DB Connection and handling a duplicate constraint error. There is no need to litter the code base with Try/Catch blocks. (Yes, I was guilty of that until I got spanked by @Jacques1 and learned better)
What "should" be done is set the PDO::ATTR_ERRMODE => PDO::ERRMODE_EXCEPTION and let the exceptions bubble up and let PHP handle it, which it does very well. set_exception_handler can also be used if you want a custom handler for exceptions.