The BPMN way is to attach an intermediate boundary error event to every step you want to check for error and drag a line to the error handle step (this way you may have different error handlers for different steps).
In webMethods processes it is also possible to declare a process wide error step (in the process properties), which is called whenever an exception is not caught by a boundary error event.
#webMethods-BPMS#BPM#webMethods