How to safely Create and Free multiple objects in Delphi

How should you safely create and free multiple objects?

Basically, this sort of thing:

  newOrderSource := TWebNewOrderSource.Create();
  twData := TTWData.Create();
  webData := TWebData.Create();

  try
    //do stuff
  finally
    newOrderSource.Free();
    twData.Free();
    webData.Free();
  end;

In this case, the second and third create commands aren't safe, as they work with a database. Should I just put all the Creates in the try block and check if they are assigned before I call free on them?