How often should I use try and catch in C#?

The only down side is when an exception is actually thrown. There is no overhead for wrapping the code, except for when exceptions occur.

Also, you don’t want to use try/catch for control flow. Consider this (bad code):

try {

    FileStream fs = File.Open("somefile.txt", FileMode.Open);

} catch (Exception ex) {
    MessageBox.Show("The file does not exist. Please select another file");
}

You’ll get more performance from some thing like File.Exists. such as:

if(!File.Exists("somefile.txt"))
  MessageBox.Show("The file does not exist.")

EDIT:
found the MSDN direct quote:

Finding and designing away
exception-heavy code can result in a
decent perf win. Bear in mind that
this has nothing to do with try/catch
blocks: you only incur the cost when
the actual exception is thrown. You
can use as many try/catch blocks as
you want. Using exceptions
gratuitously is where you lose
performance. For example, you should
stay away from things like using
exceptions for control flow.