How do I exit program in try/except?

Use the sys.exit:

import sys

try:
    # do something
except Exception, e:
    print >> sys.stderr, "does not exist"
    print >> sys.stderr, "Exception: %s" % str(e)
    sys.exit(1)

A good practice is to print the Exception that occured so you can debug afterwards.

You can also print the stacktrace with the traceback module.

Note that the int you return in sys.exit will be the return code of your program. To see what exit code your program returned (which will give you information about what happens and can be automated), you can do:

echo $?