Whether to check for null

I know that you should always check incoming params to a method for null. But what if I have this scenario with a try/catch referring to a local variable. Do I really need to check for null below? Because it's gonna catch it anyway if it's null and the next line of code tries to use the refundResponse variable:

    public string DoRefund(...)
    {
        try
        {
    ......
            string refundTransactionID = string.Empty;
    ......

            RefundTransactionResponseType refundResponse = transaction.DoRefund(...);

            if (refundResponse != null)
                refundTransactionID = refundResponse.RefundTransactionID;
    .....
        }
        catch (Exception ex)
        {
            LogError(ex);
            return ex.ToString();
        }
    }

Remember I'm talking specifically about local variables and checking those inside a method, not incoming params to a method.

All I'm asking here is do I need to check for null before setting refundTransactionID or do I just set it without the if assuming that the compiler will handle and throw if it is null which will be caught and thrown back as a string to the caller in this case.

or should it be

if (refundResponse == null)
                return null;

or just take the check out completely for this local variable assignment and then since in this case I have a try/catch I'm handling any exceptions picked up by the compiler naturally by returning the exception as a string to the caller (it was not my decision to send back a string, it was a requirement by my boss...so bypass that debate for now):

 refundTransactionID = refundResponse.RefundTransactionID;

ultimately the rest of the code further down the line in the method is dependent on a valid refundTransactionID.