You have to explicitly tell sqlplus
to do that, in your script. Basically, there are two statements that you can use:
WHENEVER SQLERROR EXIT SQL.SQLCODE
WHENEVER OSERROR EXIT
For example:
WHENEVER SQLERROR EXIT SQL.SQLCODE
begin
SELECT COLUMN_DOES_NOT_EXIST FROM DUAL;
END;
/
And for OS errors:
WHENEVER OSERROR EXIT FAILURE
START no_such_file
For more information, see this and that.
Hope it helps. Good Luck!