die vs exception

I have written a generic sql database class which contains a method RunQuery which uses mssql_query. To catch errors, should I include the "or die" clause or should I wrap it in a try/exception block? The first will stop the script running but for a generic class, I was thinking it'd be better to raise an exception and let the calling code handle it. I'd be interested to hear what everyone else does. Thanks. Regards, Bruce