Today, in my C++ multi-platform code, I have a try-catch around every function. In every catch block I add the current function's name to the exception and throw it again, so that in the upmost catch block (where I finally print the exception's details) I have the complete call stack, which helps me to trace the exception's cause.
Is it a good practice, or are there better ways to get the call stack for the exception?
No, it is deeply horrible, and I don't see why you need a call stack in the exception itself - I find the exception reason, the line number and the filename of the code where the initial exception occurred quite sufficient.
Having said that, if you really must have a stack trace, the thing to do is to generate the call stack info ONCE at the exception throw site. There is no single portable way of doing this, but using something like http://stacktrace.sourceforge.net/ combined with and a similar library for VC++ should not be too difficult.