uplifitng return value error reporting to Exception based error reporting
Yes, the refactoring "Replace error codes with exceptions" work perfectly here.
As a first step you need to create an exception type that suits your need, something like

public class UpdateException : Exception
{
    //your custom properties, fields etc.
}


and then use it in your method (an example below)

public void Update(CaseStep oCaseStepIn)
{
    //Update the master object with the passed in object

    if (Validate(oCaseStepIn) == UCommonIndep.gnVALIDATE_FAILED) 
        throw new UpdateException(); //pass in constructor useful messages

    CaseStep oCaseStep = get_ItemByObjectKey(oCaseStepIn.CopyOfObjectKey);
    if (oCaseStep == null)
        throw new UpdateException(); //pass in constructor useful messages


    if (oCaseStep.Update(oCaseStepIn) != UCommonIndep.gnUPDATE_SUCCESSFUL)
        throw new UpdateException(); //pass in constructor useful messages

    //*******************************
    //FYI - Insert code here to update any Key values that might have changed.
}


You can create different Exception subclasses for each type of error. It's even better.