Usually, no you don't. You only write a try ... catch or try ... finally block round the entire method body, from the point where you create the resources you may need to clean up to the point where you no longer need them. For example:

    var myFile = File.Open(filename);
    try {
        while ((var s = file.ReadLine()) != null) {
            var entity = ProcessLine(s);
            // do whatever you need to do to entity
        }
    }
    finally {
        myFile.Dispose();
    }

C# gives you the using keyword as syntactic sugar for this:

    using (var myFile = File.Open(filename)) {
        while ((var s = file.ReadLine()) != null) {
            ProcessLine(s);
            // do whatever you need to do to entity
        }
    }