Try, catch, finally help!

First I must say, this is for a C# console app that interacts with my website.....but the question is .NET specific either way.
In my "main" method I make a DB query and start looping through the results. While looping through the results I make a call to the following method:
private static StringBuilder XMLRequestPeg(String brandCode, String propertyID, int daysOut)
{
    // SETUP SOME VARIABLES
    StringBuilder theResponseData = new StringBuilder(1024);

    // GENERATE UNIQUE TOKEN FOR REQUEST
    string uniqueToken = System.Guid.NewGuid().ToString();

    // QUERY FOR XML DATA
    String theURI = ConfigurationSettings.AppSettings["PegXMLURL"].ToString();
    string theDataToPost = "MYDATA TO POST HERE";

    WebRequest theRequest;
    WebR ...