There are several choice for using the exceptions in wxWidgets programs. First of all, you may not use them at all. As stated above, the library doesn't throw any exceptions by itself and so you don't have to worry about exceptions at all unless your own code throws them. This is, of course, the simplest solution but may be not the best one to deal with all possible errors.
Another strategy is to use exceptions only to signal truly fatal errors. In this case you probably don't expect to recover from them and the default behaviour - to simply terminate the program - may be appropriate. If it is not, you may override OnUnhandledException() in your wxApp-derived class to perform any clean up tasks. Note, however, that any information about the exact exception type is lost when this function is called, so if you need you should override OnRun() and add a try/catch clause around the call of the base class version. This would allow you to catch any exceptions generated during the execution of the main event loop. To deal with the exceptions which may arise during the program startup and/or shutdown you should insert try/catch clauses in OnInit() and/or OnExit() as well.
Finally, you may also want to continue running even when certain exceptions occur. If all of your exceptions may happen only in the event handlers of a single class (or only in the classes derived from it), you may centralize your exception handling code in ProcessEvent method of this class. If this is impractical, you may also consider overriding the wxApp::HandleEvent() which allows you to handle all the exceptions thrown by any event handler.