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Message handling in a process (JMS)

Hi all

First of all, I'm a JMS noob. I used to use EAI-tools to accomplish integration assignments but now a customer wants to develop message flow, mapping, routing, etc with code:(
Because of that I got couple of questions.

A queue will contain messages from a party. Those messages are of one format but they will be processed differently depending on the values in some elements. One message may be routed directly to a system but the other may be used as a part of a process.
That process is following:
1. Pick the message from the queue
2. Use some details from the message to create a SOAP request
3. receive the SOAP response
4. create another SOAP request to update a salary system
5. When all the above steps are finished then I use the original message from 1. to update a third system

My question is if I pick the message from the queue (1.) and the process fails before its finalized (5.) then the original message (1.) is lost. Should I use try/catch in my process code to resubmit the message to the queue in case of failure? Or should I create a "Runnning-state" queue that contains messages that are in this process state.
What is the normal thinking when working processes and JMS?

Kind regards
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