Is it OK to try/catch something just to check if an exception was thrown or not?

Generally, this practice should be avoided. But since there is no utility method isValidBigDecimal(..), that's the way to go.

As Peter Tillemans noted in the comments, place this code in a utility method called isValidBigDecimal(..). Thus your code will be agnostic of the way of determining the validity, and you can even later switch to another method.

Boris Pavlović suggested an option to check that using a 3rd party library (commons-lang). There's one more useful method there, which I use whenever I need to verify numbers - NumberUtils.isNumber(..)

If you dislike having a method like this one, try using BigDecimalValidator from Apache Commons Validator. In case of an invalid input String it returns null.

There's nothing wrong with doing this; after all, proponents of a certain other language are fond of saying "it's easier to apologise than to ask permission", that is, it's easier to wait for something to fail and deal with it than it is to avoid failure altogether. In this case, since there is no alternative, absolutely go for it.